R/cor2cov.R

In CatDyn: Fishery Stock Assessment by Catch Dynamics Models

cor2cov <-
function(cor.mat, sd, discrepancy = 1e-05)
            {
              if (dim(cor.mat)[1] != dim(cor.mat)[2]) 
                  stop("'cor.mat' should be a square matrix")
              n <- sqrt(length(cor.mat))
              if (n != length(sd)) 
                  stop("The length of 'sd' should be the same as the number of rows of 'cor.mat'")
              if (length(sd[sd > 0]) != n) 
                  stop("The elements in 'sd' shuold all be positive")
              if (isSymmetric(cor.mat)) 
                  IS.symmetric <- TRUE
              else IS.symmetric <- FALSE
              p <- dim(cor.mat)[1]
              q <- p * (p - 1)/2
              if (isTRUE(all.equal(cor.mat[lower.tri(cor.mat)], rep(0, 
                  q))) || isTRUE(all.equal(cor.mat[upper.tri(cor.mat)], 
                  rep(0, q)))) 
                  IS.triangular <- TRUE
              else IS.triangular <- FALSE
              if (!IS.symmetric & !IS.triangular) 
                  stop("The object 'cor.mat' should be either a symmetric or a triangular matrix")
              cov.mat <- diag(sd) %*% cor.mat %*% diag(sd)
              colnames(cov.mat) <- rownames(cov.mat) <- colnames(cor.mat)
              return(cov.mat)
            }