Learn R Programming

cases (version 0.2.0)

cormat_ar1: Create an AR(1) correlation matrix

Description

Create an AR(1) correlation matrix

Usage

cormat_ar1(m, rho, d = TRUE)

Value

(matrix)

AR(1) correlation matrix R with entries \(R_{ij} = \rho^{|i-j|}\)

Arguments

m

(numeric)
dimensions of the (square) matrix

rho

(numeric)
correlation parameter in (0,1)

d

(logical | numeric)
binary vector of length m, whereby TRUE/FALSE (alternatively 1/0) indicate active/inactive components of underlying random vector.