Pdeconstruct: Disassemble a Correlation Matrix for ML Copula Fitting
In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts
Pdeconstruct R Documentation
Disassemble a Correlation Matrix for ML Copula Fitting
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
Pdeconstruct(P)
Arguments
P
matrix, a correlation matrix
Value
vector
See Also
Pconstruct
Examples
P <- Pconstruct(1:6)
Pdeconstruct(P)
QRM documentation built on April 12, 2025, 1:15 a.m.
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| Pdeconstruct | R Documentation |
Disassemble a Correlation Matrix for ML Copula Fitting
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
Pdeconstruct(P)
Arguments
P |
|
Value
vector
See Also
Pconstruct
Examples
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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