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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