generate_sig: Generate Exponential Correlation Covariance Matrix
In CepReg: A Cepstral Model for Covariate-Dependent Time Series
generate_sig R Documentation
Generate Exponential Correlation Covariance Matrix
Description
Creates an n × n covariance matrix with entries \rho^{|i - j|}.
Usage
generate_sig(n, rho)
Arguments
n
Dimension of the covariance matrix.
rho
Correlation decay parameter.
Value
An n × n positive definite covariance matrix.
Examples
S <- generate_sig(5, 0.5)
CepReg documentation built on Sept. 10, 2025, 10:38 a.m.
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| generate_sig | R Documentation |
Generate Exponential Correlation Covariance Matrix
Description
Creates an n × n covariance matrix with entries \rho^{|i - j|}.
Usage
generate_sig(n, rho)
Arguments
n |
Dimension of the covariance matrix. |
rho |
Correlation decay parameter. |
Value
An n × n positive definite covariance matrix.
Examples
S <- generate_sig(5, 0.5)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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