ar_gen: Generate an autoregressive model.

In hugogogo/varband: Variable Banding of Large Precision Matrices

Description

Generate lower triangular matrix with strict bandwidth. See, e.g., Model 1 in the paper.

Usage

ar_gen(p, phi_vec)

Arguments

p	the dimension of L
phi_vec	a K-dimensional vector for off-diagonal values

Value

a p-by-p strictly banded lower triangular matrix

Examples

true_ar <- ar_gen(p = 50, phi = c(0.5, -0.4, 0.1))

hugogogo/varband documentation built on May 17, 2019, 9:12 p.m.