[…] The covariance (and correlation) matrix of an AR(1) process are specific instances of a Toeplitz matrix because the matrix is constant along each diagonal, including sub- and super-diagonals. This current article shares a result of Peter J. Sherman (2023, IEEE Statistical Signal Processing Workshop) who published formulas for the eigenvalues and vectors of an AR(1) covariance matrix. His paper is behind a pay wall, but this article provides a summary of the most important formulas. You can download the complete SAS program that creates all tables and graphs in this article. …