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matrec
2011 Nov 27
1
generating a vector of y_t = \sum_{i = 1}^t (alpha^i * x_{t - i + 1})
....mat <- sweep(matrix(cumprod(rep(alpha, n)), nc = n, nr = n,
byrow = TRUE), 1,
c(1, cumprod(rep(1/alpha, n - 1))), FUN = "*")
up.mat[lower.tri(up.mat)] <- 0
colSums(up.mat * exp.mat)
}
matRec(c(1, 2, 3), 0.5)
matRec2 <- function(x, alpha){
n <- length(x)
exp.mat <- matrix(rep(x, each = n), nc = n, byrow = TRUE)
up.mat1 <- matrix(cumprod(rep(alpha, n)), nc = n, nr = n, byrow = TRUE)
up.mat2 <- matrix(c(1, cumprod(rep(1/alpha, n - 1))), nc = n, nr = n)
up.mat <- up.mat1...