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AR(1) covariance matrix

Source: R/simulation.R
ar1_covariance.Rd

AR(1) covariance matrix

Usage

ar1_covariance(p, rho)

Arguments

p

Dimension.

rho

Correlation parameter.

Value

Covariance matrix.

Examples

ar1_covariance(p = 4, rho = 0.5)
#>       [,1] [,2] [,3]  [,4]
#> [1,] 1.000 0.50 0.25 0.125
#> [2,] 0.500 1.00 0.50 0.250
#> [3,] 0.250 0.50 1.00 0.500
#> [4,] 0.125 0.25 0.50 1.000