.covAR {RGAP} | R Documentation |
Computes the covariance of an AR(q) process.
Description
Computes the covariance of an AR(q) process.
Usage
.covAR(k, phi, sigma)
Arguments
k |
integer indicating the lag length of the covariance. |
phi |
|
sigma |
the innovation variance of the AR(q) process. |
Value
A k x k
covariance matrix.
[Package RGAP version 0.1.1 Index]