ARcov {DisaggregateTS} | R Documentation |
Function to generate an AR(1) variance-covariance matrix with parameter rho s.t. \lvert \rho\rvert < 1
.
Description
Function to generate an AR(1) variance-covariance matrix with parameter rho s.t. \lvert \rho\rvert < 1
.
Usage
ARcov(rho, n)
Arguments
rho |
Numeric value representing the autocorrelation parameter. Must satisfy |rho| < 1. |
n |
Integer representing the size of the matrix (n x n). |
Value
A variance-covariance matrix of size n x n based on the AR(1) process.
[Package DisaggregateTS version 3.0.1 Index]