Pconstruct: Assemble a Correlation Matrix for ML Copula Fitting

In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts

Assemble a Correlation Matrix for ML Copula Fitting

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

Pconstruct(theta)

Arguments

theta

vector, elements of a lower triangular matrix A with ones on the diagonal.

Value

matrix

See Also

link{Pdeconstruct}

Examples

P <- Pconstruct(1:6) 
eigen(P) 
Pdeconstruct(P) 

QRM documentation built on April 12, 2025, 1:15 a.m.