corr_matrix — corr_matrix • bliss

Compute an autocorrelation matrix.

corr_matrix(diagonal, ksi)

Arguments

diagonal: a numerical vector corresponding to the diagonal.
ksi: a numerical value, related to the correlation.

Value

a symmetric matrix.

Examples

### Test 1 : weak autocorrelation
ksi     <- 1
diagVar <- abs(rnorm(100,50,5))
Sigma   <- corr_matrix(diagVar,ksi^2)
persp(Sigma)

### Test 2 : strong autocorrelation
ksi     <- 0.2
diagVar <- abs(rnorm(100,50,5))
Sigma   <- corr_matrix(diagVar,ksi^2)
persp(Sigma)