mat.sar {dae} | R Documentation |
Form the correlation matrix
of order order
whose
correlations follow the sar pattern. The resulting matrix
is banded.
mat.sar(SARparameter, order)
SARparameter |
A |
order |
The order of the |
The values of the correlations in the correlation matrix, corr
say, are calculated
from the SARparameter, gamma as follows. The values in
the diagonal of corr
(k = 1
) are one;
the first subdiagonal band (k = 2
) of corr
are equal to
gamma/(1 + (gamma * gamma / 4))
;
the subsequent subdiagonal bands, (k = 3:order
), of corr
are equal to
gamma * corr[k-1] - (gamma * gamma/4) * corr[k-2].
A banded correlation matrix
whose elements follow an sar pattern.
Chris Brien
mat.I
, mat.J
, mat.banded
, mat.exp
,
mat.gau
, mat.ar1
, mat.ar2
, mat.ar3
,
mat.sar2
, mat.ma1
, mat.ma2
, mat.arma
corr <- mat.sar(SARparameter = -0.4, order = 4)