AR1 {CVTuningCov} | R Documentation |
Generate Covariance Matrix with an Autoregression (1) Structrue
AR1(p,rho=0.5)
p |
the dimension of a covariance matrix. |
rho |
the default value is 0.5. |
a p*p
matrix.
Binhuan Wang
p <- 5; Sigma <- AR1(p, rho=0.9); Sigma;