Pconstruct: Assemble a Correlation Matrix for ML Copula Fitting
In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts
Description
Usage
Arguments
Value
See Also
Examples
Description
This function converts a vector of values representing the terms of a
lower triangular matrix A with ones on the diagonal and
returns the correlation matrix corresponding to the covariance matrix
AA' (see page 235 in QRM).
Usage
1
Pconstruct(theta)
Arguments
theta
vector, elements of a lower triangular matrix
A with ones on the diagonal.
Value
matrix
See Also
Examples
1
2
3
P <- Pconstruct(1:6)
eigen(P)
Pdeconstruct(P)
QRM documentation built on April 14, 2020, 6:49 p.m.
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Description Usage Arguments Value See Also Examples
Description
This function converts a vector of values representing the terms of a lower triangular matrix A with ones on the diagonal and returns the correlation matrix corresponding to the covariance matrix AA' (see page 235 in QRM).
Usage
1 | Pconstruct(theta)
|
Arguments
theta |
|
Value
matrix
See Also
Examples
1 2 3 | P <- Pconstruct(1:6)
eigen(P)
Pdeconstruct(P)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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