t2 = 1               ## The error variance.
SS = c(5,10,20,40)   ## Sample sizes

## Consider these AR(1) coefficients.
for (alpha in c(0,0.3,0.6,0.9))
{
    F = NULL
    for (k in 1:length(SS))
    {
        ## The sample size.
        n = SS[k] 

	## Construct the covariance matrix.
        C = array(0, c(n,n))
        for (i in (1:n))
        {
            for (j in (1:n))
            {
                C[i,j] = alpha^abs(i-j)*t2/(1-alpha^2)
            }
        }

        F[k] = sum(C)/n^2
    }

    print(F)
}