ARcov_lit: Function to generate an ARIMA(1,1,0) variance-covariance...

In DisaggregateTS: High-Dimensional Temporal Disaggregation

Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter \rho such that \lvert \rho \rvert < 1.

Description

Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter \rho such that \lvert \rho \rvert < 1.

Usage

ARcov_lit(rho, n)

Arguments

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

Value

A variance-covariance matrix of size (n x n) for the ARIMA(1,1,0) process, used in the Litterman method.

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