covMatAR1: AR(1)
In timflutre/rutilstimflutre: Timothee Flutre's personal R code
covMatAR1 R Documentation
AR(1)
Description
Return a first-order auto-regressive covariance matrix.
Usage
covMatAR1(n, rho, sigma2)
Arguments
n
dimension of the matrix (number of rows and columns)
rho
correlation between successive variables
sigma2
variance of the errors (also called "innovations" in the time-series literature)
Value
matrix
Author(s)
Timothee Flutre
timflutre/rutilstimflutre documentation built on Feb. 7, 2024, 8:17 a.m.
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| covMatAR1 | R Documentation |
AR(1)
Description
Return a first-order auto-regressive covariance matrix.
Usage
covMatAR1(n, rho, sigma2)
Arguments
n |
dimension of the matrix (number of rows and columns) |
rho |
correlation between successive variables |
sigma2 |
variance of the errors (also called "innovations" in the time-series literature) |
Value
matrix
Author(s)
Timothee Flutre
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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