6.6.1.2.4. statsmodels.sandbox.panel.correlation_structures.corr_equi

statsmodels.sandbox.panel.correlation_structures.corr_equi(k_vars, rho)

create equicorrelated correlation matrix with rho on off diagonal

Parameters:

k_vars : int

number of variables, correlation matrix will be (k_vars, k_vars)

rho : float

correlation between any two random variables

Returns:

corr : ndarray (k_vars, k_vars)

correlation matrix