cor.mat: Generate Two Type of Correlation Matrix

In feiyoung/simutool: Common Tool Functions In Simulation

Description

Generate two type of correlation matrix

Usage

  cor.mat(p, rho, type='toeplitz')

Arguments

p	a positive integer, the dimension of correlation matrix.
rho	a value between 0 and 1, a baseline vlaue of correlation coefficient.
type	a character, specify the type of correlation matrix and only include 'toeplitz' and 'identity' in current version.

Details

The argument rho specify the size of correlation coeffient. As for argument type, if type='toeplitz', sigma_ij=rho^|i-j|; if type ='identity', sigma_ij=rho when i!=j and sigma_ij=1 when i=j.

Value

return a correlation matrix with a type of specified structure.

Note

nothing

Author(s)

Liu Wei

References

nothing.

See Also

cov2cor

Examples

  cor.mat(5, 0.5)
  cor.mat(5, 0.5, type='identity')

feiyoung/simutool documentation built on Sept. 15, 2021, 10:14 p.m.