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INLAspacetime (version 0.1.11)

ar2cov: Illustrative code to compute the covariance of the second order autoregression (AR2) model.

Description

Computes the auto-covariance for given coefficients.

Usage

ar2cov(a1, a2, k = 30, useC = FALSE)

Value

the autocorrelation as a vector or matrix, whenever a1 or a2 are scalar or vector.

Arguments

a1

the first auto-regression coefficient.

a2

the second auto-regression coefficient.

k

maximum lag for evaluating the auto-correlation.

useC

just a test (to use C code).

Details

Let the second order auto-regression model defined as x_t + a_1 x_{t-1} + a_2 x_{t-2} = w_t where w_t ~ N(0, 1).

See Also

ar2precision

Examples

Run this code
ar2cov(c(-1.7, -1.8), 0.963, k = 5)
plot(ar2cov(-1.7, 0.963), type = "o")

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