[R] correlation matrix o

Kjetil Brinchmann Halvorsen kjetil at acelerate.com
Wed Dec 8 16:21:25 CET 2004

Liliana Forzani wrote:

>Hi, I have data normal with mean 0, I was wondering how to get (using R)
>the best r such that the correlation matrix of my data has the form
>{r^(i-j)} where (i,j) indicate row and columm respectivly. Thanks. Liliana
Thats the correlation matrix for an autoregressive(1) process, with 
equal time increments.
So you could use arima with your regressors in xreg and ar1 structure,
or package nlme with corAR1 correlation structure.


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Kjetil Halvorsen.

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