build_theo_sercor_mtx: Build a matrix of theoretical serial correlations

In PaulMTeggin/practechniques: Functions for the Practical Actuarial Techniques online book

Build a matrix of theoretical serial correlations

Description

The rows and columns of the matrix represent indexes to the overlapped data. All values on the leading diagonal will be 1, since a variable is always perfectly correlated with itself. Values off the diagonal will depend on the size of the overlap (noverlap).

Usage

build_theo_sercor_mtx(N, noverlap)

Arguments

N	The size of the matrix (number of rows and columns)
noverlap	The extent of the overlap, e.g. 12 means annual overlaps from monthly data. 1 means no overlap.

Value

The matrix of theoretical serial correlations.

See Also

Other Overlapping data functions: calc_theo_sercor()

Examples

build_theo_sercor_mtx(24, 12)

PaulMTeggin/practechniques documentation built on Aug. 19, 2023, 4:44 p.m.