cov.mat: Generate Two Type of Covariance Matrix

In feiyoung/simutool: Common Tool Functions In Simulation

Description

Generate two type of covariance matrix

Usage

  cov.mat(sdvec,rho, type='toeplitz')

Arguments

sdvec	a positive vector, standard deviation of each random variable.
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 covariance matrix with a type of specified structure.

Note

nothing

Author(s)

Liu Wei

References

nothing.

See Also

cov2cor

Examples

  cov.mat(rep(5,5), 0.5)
  cov.mat(c(2,4,3), 0.5, type='identity')

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