wSigma: Inflate covariance matrix

In garciapintado/rDAF: An R Data Assimilation Framework

Description

inflate covariance matrix keeping correlations

Usage

wSigma(sigma, w)

Arguments

sigma	REAL, [n,n], covariance matrix
w	REAL, [n], inflation weights

Examples

P <- matrix(c(1.0, 0.5, 0.2,
              0.5, 2.0, 0.3,
              0.2, 0.3, 1.5), 3)
w <- c(1,2,3)
wP    <- wSigma(P,w)

Dsqi  <- diag(1/sqrt(diag(P)))
rho   <- Dsqi %*% P %*% Dsqi       # rho
wDsqi <- diag(1/sqrt(diag(wP)))
wrho  <- wDsqi %*% wP %*% wDsqi   # rho
all.equal(rho, wrho)

garciapintado/rDAF documentation built on May 25, 2019, 7:26 p.m.