AR1: Create an AR1 matrix

In nmmarquez/armatricies: Build AR Matrcies and Simulated Data

Description

Given values for rho and sigma creates an AR1 matrix

Usage

AR1(N, sigma, rho)

Arguments

sigma	how much noise exists in the AR1 process
rho	how much each obs should be correlated with the obs before
n	number of observations in the AR1 process

Value

Variance-Covrariance matrix of AR1 process

Examples

AR1(20, .95, 3)

nmmarquez/armatricies documentation built on May 23, 2019, 9:28 p.m.