irregulAR1 (version 1.0.0)

ar1_cov_chol_irregular: Upper triangular Cholesky decomposition for a stationary Gaussian AR(1) process covariance matrix, observed at irregularly spaced time points.

Description

Creates the upper Cholesky triangle of the covariance matrix of an AR(1) process with parameters rho and sigma, observed at the time points in the vector times. The process is assumed to be in stationarity and to have Gaussian errors.

Usage

ar1_cov_chol_irregular(times, rho, sigma)

Arguments

times

An vector of positive integers, preferably ordered.

rho

A real number strictly less than 1 in absolute value.

sigma

A positive real number.

Value

A square matrix with length(times) rows.

Examples

# NOT RUN {
times <- c(1, 4:5, 7)
rho <- 0.5
sigma <- 1
ar1_cov_chol_irregular(times, rho, sigma)
# }