Pdeconstruct: Disassemble 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 takes a correlation matrix P and returns the
elements of a lower-triangular matrix A with ones on the
diagonal such that P is the corelation matrix corresponding to
the covariance matrix AA' (see page 235 in QRM).
Usage
1
Pdeconstruct(P)
Arguments
P
matrix, a correlation matrix
Value
vector
See Also
Examples
1
2
P <- Pconstruct(1:6)
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 takes a correlation matrix P and returns the elements of a lower-triangular matrix A with ones on the diagonal such that P is the corelation matrix corresponding to the covariance matrix AA' (see page 235 in QRM).
Usage
1 | Pdeconstruct(P)
|
Arguments
P |
|
Value
vector
See Also
Examples
1 2 | P <- Pconstruct(1:6)
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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