ar_gen {varband}

Generate an autoregressive model.

Description

Generate lower triangular matrix with strict bandwidth. See, e.g., Model 1 in the paper.

Usage

ar_gen(p, phi_vec)

Arguments

p

the dimension of L

phi_vec

a K-dimensional vector for off-diagonal values

Value

a p-by-p strictly banded lower triangular matrix

Examples

true_ar <- ar_gen(p = 50, phi = c(0.5, -0.4, 0.1))