Uncategorized

Analytics | Learn SAS | Programming Tips
Rick Wicklin 0
An explicit formula for eigenvalues of an AR(1) correlation matrix

The first-order autoregressive (AR(1)) correlation structure is important for applications in time series modeling and for repeated measures analysis. The AR(1) model provides a simple situations where measurements (on the same subject) that are closer in time are correlated more strongly than measurements recorded far apart. The AR(1) model uses

1 2 3 4 5 6 159