Description Usage Arguments Value Examples

Creates the cross-covariance matrix of an AR(1) process with parameters
`rho`

and `sigma`

, observed at (positive) integer times
`times1`

and `times2`

, which may be irregularly spaced. The
process is assumed to be in stationarity and to have Gaussian errors.

1 | ```
ar1_cross_cov(times1, times2, rho, sigma)
``` |

`times1` |
An vector of positive integers, preferably ordered. |

`times2` |
An vector of positive integers, preferably ordered. |

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

`sigma` |
A positive real number. |

A matrix with `length(times2)`

rows and `length(times1)`

columns.

1 2 3 4 5 | ```
times1 <- c(1, 3, 6)
times2 <- c(2, 4, 8:9)
rho <- 0.5
sigma <- 1
ar1_cross_cov(times1, times2, rho, sigma)
``` |

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