banded: Generates a banded covariance matrix and matrix squareroot sig: value of kth band (starting with diagonal) size of band is length(sig)

Description

Generates a banded covariance matrix and matrix squareroot sig: value of kth band (starting with diagonal) size of band is length(sig)

Usage

1
banded(p, sig)

Arguments

p

dimension of covariance matrix

sig

vector of values of Toeplitz matrix


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.