AR: The covariance matrix with an autoregressive (AR) structure...

View source: R/AR.R

ARR Documentation

The covariance matrix with an autoregressive (AR) structure among variables

Description

The covariance matrix with an AR structure among variables, where the marginal variances are 1 and the jth and kth variables have correlation coefficient rho^abs(j-k).

Usage

AR(rho, p)

Arguments

rho

The correlation coefficient indicating the AR relationship between the variables.

p

The dimension of variables.

Value

A covariance matrix.


GEInter documentation built on May 20, 2022, 1:17 a.m.

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