ar2cov: Illustrative code to compute the covariance of the second...
In INLAspacetime: Spatial and Spatio-Temporal Models using 'INLA'
ar2cov R Documentation
Illustrative code to compute the covariance of
the second order autoregression (AR2) model.
Description
Computes the auto-covariance for given coefficients.
Usage
ar2cov(a1, a2, k = 30, useC = FALSE)
Arguments
a1
the first auto-regression coefficient.
a2
the second auto-regression coefficient.
k
maximum lag for evaluating the auto-correlation.
useC
just a test (to use C code).
Value
the autocorrelation as a vector or matrix, whenever a1 or a2 are
scalar or vector.
Details
Let the second order auto-regression model defined as
x_t + a_1 x_{t-1} + a_2 x_{t-2} = w_t
where w_t ~ N(0, 1).
See Also
ar2precision
Examples
ar2cov(c(-1.7, -1.8), 0.963, k = 5)
plot(ar2cov(-1.7, 0.963), type = "o")
INLAspacetime documentation built on April 4, 2025, 1:38 a.m.
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| ar2cov | R Documentation |
Illustrative code to compute the covariance of the second order autoregression (AR2) model.
Description
Computes the auto-covariance for given coefficients.
Usage
ar2cov(a1, a2, k = 30, useC = FALSE)
Arguments
a1 |
the first auto-regression coefficient. |
a2 |
the second auto-regression coefficient. |
k |
maximum lag for evaluating the auto-correlation. |
useC |
just a test (to use C code). |
Value
the autocorrelation as a vector or matrix, whenever a1 or a2 are
scalar or vector.
Details
Let the second order auto-regression model defined as
x_t + a_1 x_{t-1} + a_2 x_{t-2} = w_t
where w_t ~ N(0, 1).
See Also
ar2precision
Examples
ar2cov(c(-1.7, -1.8), 0.963, k = 5)
plot(ar2cov(-1.7, 0.963), type = "o")
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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