R help - Jun 2009 - Function in R for computing correlation matrix and covariance matrix

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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?ar ?arima  help.search("autoregressive")

Bert Gunter
Genentech Nonclinical Biostatistics

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
Behalf Of FMH
Sent: Wednesday, June 03, 2009 12:31 PM
To: r-help at 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


      
	[[alternative HTML version deleted]]