an ar 1 correlation matrix
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Hello ,
I was trying to construct an ar 1 correlation matrix. I tried to search a lot but there is no proper way. What I did looks like this, not sure if its right
e1=zeros(8,8);
sigma=1;phi=0.22;a=5;
for t=1:8*8
e1(t)=(a+phi*e1(t)+sigma*(randn(1)));
end
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on 23 Oct 2015
on 23 Oct 2015
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