ARcov_lit {DisaggregateTS} | R Documentation |
\rho
such that \lvert \rho \rvert < 1
.Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter \rho
such that \lvert \rho \rvert < 1
.
ARcov_lit(rho, n)
rho |
Numeric value representing the autocorrelation parameter. Must satisfy |
n |
Integer representing the size of the matrix |
A variance-covariance matrix of size (n x n)
for the ARIMA(1,1,0) process, used in the Litterman method.