intraclass_cov: Construct an intraclass covariance matrix.
Description
We define a $p \times p$ intraclass covariance
(correlation) matrix to be $\Sigma_m = \sigma^2 (1 -
\rho) J_p + \rho I_p$, where $-(p-1)^{-1} < \rho <
1$, $I_p$ is the $p \times p$ identity matrix,
and $J_p$ denotes the $p \times p$ matrix of
ones.
Usage
intraclass_cov(p, rho, sigma2 = 1)
Arguments
p
the dimension of the matrix
rho
the intraclass covariance (correlation)
constant
sigma2
the coefficient of the intraclass
covariance matrix