cor2cov: Convert a correlaiton matrix into a covariance matrix

In JGCRI/metrosamp: Basic Metropolis Sampler for Markov Chain Monte Carlo

Description

Given a correlation matrix an a vector of standard deviations for the individual variables, produce a covariance matrix.

Usage

cor2cov(cormat, scales)

Arguments

cormat	Correlation matrix
scales	Vector of scale factors (i.e., standard deviations)

Details

This is a convenience function, meant for producing covariance matrices for proposal distributions in cases where you have an idea of what the correlation should be, and you want to specify the scale independently. No checks are performed to see, for example, whether the correlation matrix is valid.

JGCRI/metrosamp documentation built on Aug. 8, 2019, 10:59 p.m.