6.6.1.2.2. statsmodels.sandbox.panel.correlation_structures.corr_ar

statsmodels.sandbox.panel.correlation_structures.corr_ar(k_vars, ar)

create autoregressive correlation matrix

This might be MA, not AR, process if used for residual process - check

Parameters:

ar : array_like, 1d

AR lag-polynomial including 1 for lag 0