simcorTop: Toeplitz correlation structure

In richardbeare/simcor: Generate noisy correlation matrices

Description

Toeplitz correlation structure

Usage

simcorTop(k = 6, size = c(10, 5, 8, 2, 15, 50), rho = c(0.7, 0.7, 0.5,
  0.9, 0.85, 0.4), epsilon = 0.01, eidim = 2)

Arguments

k	is the number of groups
size	is a vector of length k specifying the size of each group
rho	is a vector of length k specifying base correlation values
eidim	is the space from which the noise is generated, the smaller the more noise
maximum	entry-wise random noise.

Details

This function calculates an AR(1) Toeplitz matrix with a block diagonal structure. The size and base correlation for each block is user specified

richardbeare/simcor documentation built on May 19, 2019, 4:16 p.m.