Form the correlation matrix of order order whose correlations follow the ar1 pattern. The matrix is banded and has diagonal elements equal to one and the off-diagonal element in the ith row and jth column equal to \(\rho^k\) where \(k = |i- j|\).
matrix
order
mat.ar1(rho, order)
The correlation on the first off-diagonal.
The order of the matrix to be formed.
A banded correlation matrix whose elements follow an ar1 pattern.
mat.I, mat.J, mat.exp, mat.gau, mat.banded, mat.ar2, mat.ar3, mat.sar2, mat.ma1, mat.ma2, mat.arma
mat.I
mat.J
mat.exp
mat.gau
mat.banded
mat.ar2
mat.ar3
mat.sar2
mat.ma1
mat.ma2
mat.arma
# NOT RUN { corr <- mat.ar1(rho=0.4, order=4) # }
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