Residual Covariance (R) Matrix

Figure 1. Residual covariance (R) matrix for autoregressive covariance model
Residual covariance (R) matrix for autoregressive covariance model

The R matrix with AR1 structure is built by first setting the diagonal elements equal to the AR1 diagonal parameter.

  • The covariance of two consecutive weeks is the product of the AR1 diagonal and AR1 rho parameters.
  • The covariance of two weeks separated by a third is the product of the AR1 diagonal parameter and the square of the AR1 rho parameter.
  • The covariance three weeks apart is the product of the AR1 diagonal parameter and the cube of the AR1 rho parameter.

Larger matrices are constructed by continuing in this way until the matrix is full.

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