Creates the precision (inverse covariance) matrix of an AR(1) process with
sigma, observed at
time points. The process is assumed to be in stationarity and to have
Gaussian errors. The matrix is a tridiagonal band matrix and thus sparse.
An integer greater than or equal to 1.
A real number strictly less than 1 in absolute value.
A positive real number.
A matrix with
n rows and
1 2 3 4 5
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