ARcov_lit {DisaggregateTS} | R Documentation |
Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter \rho
such that \lvert \rho \rvert < 1
.
Description
Function to generate an ARIMA(1,1,0) variance-covariance matrix for the Litterman method with parameter \rho
such that \lvert \rho \rvert < 1
.
Usage
ARcov_lit(rho, n)
Arguments
rho |
Numeric value representing the autocorrelation parameter. Must satisfy |
n |
Integer representing the size of the matrix |
Value
A variance-covariance matrix of size (n x n)
for the ARIMA(1,1,0) process, used in the Litterman method.
[Package DisaggregateTS version 3.0.1 Index]