CSgenerate: Generate a compound symmetric correlation matrix

In MixMatrix: Classification with Matrix Variate Normal and t Distributions

Generate a compound symmetric correlation matrix

Description

Generate a compound symmetric correlation matrix

Usage

CSgenerate(n, rho)

Arguments

n	number of dimensions
rho	off-diagonal element - a correlation between -1 and 1. Will warn if less than 0.

Value

returns an n \times n matrix with 1 on the diagonal and rho on the off-diagonal.

Examples

# generates a covariance matrix with 1 on the main diagonal
# and 0.5 on the off-diagonal elements.
CSgenerate(3, .5)

MixMatrix documentation built on Oct. 1, 2024, 1:07 a.m.