**R – Statistical Odds & Ends**, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Assume that we are in the time series data setting, where we have data at equally-spaced times which we denote by random variables . The AR(1) model, commonly used in econometrics, assumes that the correlation between and is , where is some parameter that usually has to be estimated.

If we were writing out the full correlation matrix for consecutive data points , it would look something like this:

(* Side note:* This is an example of a correlation matrix which has Toeplitz structure.)

* Given , how can we generate this matrix quickly in R?* The function below is my (current) best attempt:

ar1_cor <- function(n, rho) { exponent <- abs(matrix(1:n - 1, nrow = n, ncol = n, byrow = TRUE) - (1:n - 1)) rho^exponent }

In the function above, `n`

is the number of rows in the desired correlation matrix (which is the same as the number of columns), and `rho`

is the parameter. The function makes use of the fact that when subtracting a vector from a matrix, R automatically recycles the vector to have the same number of elements as the matrix, and it does so in a column-wise fashion.

Here is an example of how the function can be used:

ar1_cor(4, 0.9) # [,1] [,2] [,3] [,4] # [1,] 1.000 0.90 0.81 0.729 # [2,] 0.900 1.00 0.90 0.810 # [3,] 0.810 0.90 1.00 0.900 # [4,] 0.729 0.81 0.90 1.000

Such a function might be useful when trying to generate data that has such a correlation structure. For example, it could be passed as the `Sigma`

parameter for `MASS::mvrnorm()`

, which generates samples from a multivariate normal distribution.

**Can you think of other ways to generate this matrix?**

**leave a comment**for the author, please follow the link and comment on their blog:

**R – Statistical Odds & Ends**.

R-bloggers.com offers

**daily e-mail updates**about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.