Create an AR(1) correlation matrix
Usage
cormat_ar1(m, rho, d = TRUE)
Arguments
- m
(numeric)
dimensions of the (square) matrix
- rho
(numeric)
correlation parameter in (0,1)
- d
(logical | numeric)
binary vector of length m, whereby TRUE/FALSE (alternatively 1/0)
indicate active/inactive components of underlying random vector.
Value
(matrix)
AR(1) correlation matrix R with entries \(R_{ij} = \rho^{|i-j|}\)