mat.ar1 {dae}

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

See Also

mat.I, mat.J, mat.cor, mat.corg, mat.exp, mat.gau, mat.banded, mat.ar2, mat.ar3, mat.sar2, mat.ma1, mat.ma2, mat.arma

Examples

    corr <- mat.ar1(rho=0.4, order=4)