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

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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