computeCovAR: Compute the covariance matrix of some observations of the AR model
Description
Compute the covariance matrix of \((\eta_t,...,\eta_{t-lag})\) for an AR model.
Usage
computeCovAR(arPrmtr, sigma, lag = length(arPrmtr) + 1)
Arguments
arPrmtr
the parameter of the AR model (with no intercept term).
sigma
the innovation standard deviation.
lag
the number of lags to be computed, including lag zero.
Value
the covariance matrix.