[R] Create an AR(1) covariance matrix

[Peter Dalgaard]

Dimitris Rizopoulos wrote:
> one option is the following:
>
> times <- 1:5
> rho <- 0.5
> sigma <- 2
> ###############
> H <- abs(outer(times, times, "-"))
> V <- sigma * rho^H
> p <- nrow(V)
> V[cbind(1:p, 1:p)] <- V[cbind(1:p, 1:p)] * sigma
> V
>
>   

Hmm, I'd rather use

x <- diag(5)
x <- sigma * rho^abs(row(x)-col(x))

    -p


-- 
   O__  ---- Peter Dalgaard             Øster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)                  FAX: (+45) 35327907