dot-covAR: Computes the covariance of an AR(q) process.
In RGAP: Production Function Output Gap Estimation
.covAR R Documentation
Computes the covariance of an AR(q) process.
Description
Computes the covariance of an AR(q) process.
Usage
.covAR(k, phi, sigma)
Arguments
k
integer indicating the lag length of the covariance.
phi
q x 1 vector of parameters.
sigma
the innovation variance of the AR(q) process.
Value
A k x k covariance matrix.
RGAP documentation built on Nov. 2, 2023, 6:02 p.m.
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| .covAR | R Documentation |
Computes the covariance of an AR(q) process.
Description
Computes the covariance of an AR(q) process.
Usage
.covAR(k, phi, sigma)
Arguments
k |
integer indicating the lag length of the covariance. |
phi |
|
sigma |
the innovation variance of the AR(q) process. |
Value
A k x k covariance matrix.
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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