R/varcov.R

In spup: Spatial Uncertainty Propagation Analysis

#' Calculate variance covariance matrix
#'
#' @param sd_vector vector of standard deviations.
#' @param cormat correlation matrix.
#'
#' @return Variance-covariance matrix.
#' 
#' @author Kasia Sawicka
#' 
#' @examples
#' vc <- varcov(c(1,2,3), matrix(c(1,0.7,0.2,0.7,1,0.5,0.2,0.5,1), nrow = 3, ncol = 3))
#' vc
#' 
#' @export
varcov <- function(sd_vector, cormat) {
  sd_matrix <- diag(sd_vector)
  varcov_matrix <- sd_matrix %*% cormat %*% t(sd_matrix)
  varcov_matrix
}