gen_Sigma: Random covariance matrix generation. This routine uses either...

In jlivsey/livsey: Helper R functions

Random covariance matrix generation. This routine uses either the method of diagonal dominance or an autoregressive time series structure. The Diagnoal dominance does not produce large correlations but a wider variety or struture.

Description

Random covariance matrix generation. This routine uses either the method of diagonal dominance or an autoregressive time series structure. The Diagnoal dominance does not produce large correlations but a wider variety or struture.

Usage

gen_Sigma(d, ar1 = FALSE, phi = 0.5)

Arguments

d	The dimensionality of the desired Covariance matrix
ar1	The method that should be used. If FALSE(default) then diagnal dominance is used. If TRUE then an AR time series matrix used.
phi	The AR parameter. Only needed or used when ar1=TRUE

Value

Sigma A positive definate Covariance matrix.

Examples

gen_Sigma(5)

jlivsey/livsey documentation built on Oct. 17, 2024, 3:18 a.m.