dcov_drho: Derivative of the covariance matrix for a stationary Gaussian...

Description Usage Arguments Value Examples

Description

Creates the derivate of the covariance matrix of an AR(1) process with respect to the parameter rho. The process has been observed at the time points in the vector times and is assumed to be in stationarity, and to have Gaussian errors.

Usage

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dcov_drho(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 square matrix with length(times) rows.

Examples

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times <- c(1, 4:5, 7)
rho <- 0.5
sigma <- 1
dcov_drho(times, rho, sigma)

BenjaK/irregulAR1 documentation built on May 30, 2019, 3:51 p.m.