Construct an intraclass covariance matrix.

Description

We define a p \times p intraclass covariance (correlation) matrix to be Σ_m = σ^2 (1 - ρ) J_p + ρ I_p, where -(p-1)^{-1} < ρ < 1, I_p is the p \times p identity matrix, and J_p denotes the p \times p matrix of ones.

Usage

1
  intraclass_cov(p, rho, sigma2 = 1)

Arguments

p

the dimension of the matrix

rho

the intraclass covariance (correlation) constant

sigma2

the coefficient of the intraclass covariance matrix

Value

an intraclass covariance matrix matrix of size p