?ar ?arima help.search("autoregressive")
Bert Gunter
Genentech Nonclinical Biostatistics
-----Original Message-----
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
Behalf Of FMH
Sent: Wednesday, June 03, 2009 12:31 PM
To: r-help@r-project.org
Subject: [R] Function in R for computing correlation matrix and
covariancematrix
Hi,
At present, i have two distinct and real values for the coefficient, which
is required in AR(2) model. Based on my revision, for distinct and real
values of the coefficients in AR(2) model, the correlation structure
separated by lag h can be computed by p(h) = a*z1^(-h) + b*z2^(h), where
p(h) is the autocorrelation separated by lag h, a and b can be determined by
initial values, z1 and z2 are the coefficients of AR(2).
I'm trying to compute the correlation matrix and the covariance matrix from
this AR(2) model, via automatic function in R, but can't find any suitable
functions.
Could someone guide me, please?
Thanks
Fir
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