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
\(k = |i- j|\).
Usage
mat.ar1(rho, order)
Value
A banded correlation matrix whose elements follow an ar1 pattern.