ARgenerate {MixMatrix} | R Documentation |
generate AR(1) correlation matrices
ARgenerate(n, rho)
n |
number of columns/rows |
rho |
correlation parameter |
Toeplitz n * 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)