ar2cor {INLAspacetime}

Illustrative code to compute the auto-correlation for an AR2 model.

Description

Computes the auto-correlation.

Usage

ar2cor(a1, a2, k = 30)

Arguments

a1

the first auto-regression coefficient.

a2

the second auto-regression coefficient.

k

maximum lag for evaluating the auto-correlation.

Value

the autocorrelation as a vector or matrix, whenever a1 or a2 are scalar or vector.

Details

Let the second order auto-regression model defined as ⁠x_t + a_1 x_{t-1} + a_2 x_{t-2} = w_t⁠ where w_t ~ N(0, 1).

See Also

ar2precision

Examples

plot(ar2cor(-1.7, 0.963), type = "o")