Re: [R] About simulations

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Fri 17 Jun 2005 - 19:26:59 EST

ARMAacf() will give you the acf for an autoregression, and toeplitz() wil turn this into a correlation matrix. Then just multiply by the desired variance.

I am not sure what this has to do with your subject line, and ?arima.sim might be helpful for that.

On Fri, 17 Jun 2005, Caroline TRUNTZER wrote:

> Hello
> I would like to generate covariance matrix with autoregressive
> structure. I saw some functions in nlme such as corAR1 for example but I
> don't know how to use it for my goal. Could someone help me or advise me
> another function?
> Thank you in advance
> Caroline

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Fri Jun 17 19:34:41 2005

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