.getSqrtInvCpp: Get the prewhitening matrix for a single data location
Description
Get the prewhitening matrix for a single data location
Usage
.getSqrtInvCpp(AR_coeffs, nTime, avg_var)
Arguments
- AR_coeffs
a length-p vector where p is the AR order
- nTime
(integer) the length of the time series that is being prewhitened
- avg_var
a scalar value of the residual variances of the AR model