computeCovAR: Compute the covariance matrix of some observations of the AR...

In carx: Censored Autoregressive Model with Exogenous Covariates

Description

Compute the covariance matrix of (η_t,...,η_{t-lag}) for an AR model.

Usage

computeCovAR(arPrmtr, sigma, lag = length(arPrmtr) + 1)

Arguments

arPrmtr	the parameter of the AR model (with no intercept term).
sigma	the innovation standard deviation.
lag	the number of lags to be computed, including lag zero.

Value

the covariance matrix.

carx documentation built on May 2, 2019, 3:43 a.m.