ar1_prec_chol_irregular: Upper Cholesky triangle of the precision matrix of a...
In irregulAR1: Functions for Irregularly Sampled AR(1) Processes
Description
Usage
Arguments
Value
Examples
Description
Creates the upper triangular Cholesky decomposition of the precision 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.
Usage
1
ar1_prec_chol_irregular(times, rho, sigma)
Arguments
times
An vector of positive integers, preferably ordered.
rho
A real number strictly less than 1 in absolute value.
sigma
A positive real number.
Value
A sparse square matrix with length(times) rows.
Examples
1
2
3
4
5
library(Matrix)
times <- c(1, 4:5, 7)
rho <- 0.5
sigma <- 1
ar1_prec_chol_irregular(times, rho, sigma)
irregulAR1 documentation built on May 2, 2019, 8:49 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value Examples
Description
Creates the upper triangular Cholesky decomposition of the precision 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.
Usage
1 | ar1_prec_chol_irregular(times, rho, sigma)
|
Arguments
times |
An vector of positive integers, preferably ordered. |
rho |
A real number strictly less than 1 in absolute value. |
sigma |
A positive real number. |
Value
A sparse square matrix with length(times) rows.
Examples
1 2 3 4 5 | library(Matrix)
times <- c(1, 4:5, 7)
rho <- 0.5
sigma <- 1
ar1_prec_chol_irregular(times, rho, sigma)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.