AR1.cor {BayesRGMM}

AR(1) correlation matrix

Description

Generate a correlation matrix for AR(1) model

Usage

AR1.cor(n, rho)

Arguments

n

size of matrix

rho

correlation between -1 to 1

Value

n\times n AR(1) correlation matrix

Details

The correlation matrix is created as

\left(\begin{array}{ccccc} 1 & \rho & \rho^2 & \cdots & \rho^{n-1}\\ \rho & 1 & \rho & \cdots & \rho^{n-2}\\ \vdots & \vdots & \vdots & \ddots & \vdots\\ \rho^2 & \rho & 1 & \cdots & \rho^{n-3} \end{array}\right)

Examples

AR1.cor(5, 0.5)