ARcov: Function to generate an AR(1) variance-covariance matrix with...

In DisaggregateTS: High-Dimensional Temporal Disaggregation

Function to generate an AR(1) variance-covariance matrix with parameter rho s.t. \lvert \rho\rvert < 1.

Description

Function to generate an AR(1) variance-covariance matrix with parameter rho s.t. \lvert \rho\rvert < 1.

Usage

ARcov(rho, n)

Arguments

rho	Numeric value representing the autocorrelation parameter. Must satisfy |rho| < 1.
n	Integer representing the size of the matrix (n x n).

Value

A variance-covariance matrix of size n x n based on the AR(1) process.

DisaggregateTS documentation built on Oct. 31, 2024, 5:09 p.m.