Description Usage Arguments Value Examples

Creates the upper Cholesky triangle of the covariance matrix of an AR(1)
process with parameters `rho`

and `sigma`

, observed at the time
points in the vector `times`

. The process is assumed to be in
stationarity and to have Gaussian errors.

1 | ```
ar1_cov_chol_irregular(times, rho, sigma)
``` |

`times` |
An vector of positive integers, preferably ordered. |

`rho` |
A real number strictly less than 1 in absolute value. |

`sigma` |
A positive real number. |

A square matrix with `length(times)`

rows.

1 2 3 4 | ```
times <- c(1, 4:5, 7)
rho <- 0.5
sigma <- 1
ar1_cov_chol_irregular(times, rho, sigma)
``` |

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