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Computes the auto-covariance for given coefficients.
ar2cov(a1, a2, k = 30, useC = FALSE)
the autocorrelation as a vector or matrix, whenever a1 or a2 are scalar or vector.
a1
a2
the first auto-regression coefficient.
the second auto-regression coefficient.
maximum lag for evaluating the auto-correlation.
just a test (to use C code).
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).
x_t + a_1 x_{t-1} + a_2 x_{t-2} = w_t
w_t ~ N(0, 1)
ar2precision
ar2cov(c(-1.7, -1.8), 0.963, k = 5) plot(ar2cov(-1.7, 0.963), type = "o")
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