mat.ar1 {dae} R Documentation

## Forms an ar1 correlation matrix

### Description

Form the correlation matrix of order order whose correlations follow the ar1 pattern. The matrix is banded and has diagonal elements equal to one and the off-diagonal element in the ith row and jth column equal to \rho^k where k = |i- j|.

### Usage

mat.ar1(rho, order)

### Arguments

 rho The correlation on the first off-diagonal. order The order of the matrix to be formed.

### Value

A banded correlation matrix whose elements follow an ar1 pattern.

### Author(s)

Chris Brien

mat.I, mat.J, mat.exp, mat.gau, mat.banded, mat.ar2, mat.ar3, mat.sar2, mat.ma1, mat.ma2, mat.arma
    corr <- mat.ar1(rho=0.4, order=4)