generate AR(1) correlation matrices
ARgenerate(n, rho)
n | number of columns/rows |
---|---|
rho | correlation parameter |
Toeplitz \(n \times n\) matrix with 1 on the diagonal and \(rho^k\) on the other diagonals, where \(k\) is distance from the main diagonal. Used internally but it is useful for generating your own random matrices.
ARgenerate(6, .9) #> [,1] [,2] [,3] [,4] [,5] [,6] #> [1,] 1.00000 0.9000 0.810 0.729 0.6561 0.59049 #> [2,] 0.90000 1.0000 0.900 0.810 0.7290 0.65610 #> [3,] 0.81000 0.9000 1.000 0.900 0.8100 0.72900 #> [4,] 0.72900 0.8100 0.900 1.000 0.9000 0.81000 #> [5,] 0.65610 0.7290 0.810 0.900 1.0000 0.90000 #> [6,] 0.59049 0.6561 0.729 0.810 0.9000 1.00000