chol2cov: Cholesky correlation matrix and standard deviations to...

In iamamutt/mejr: General Purpose R Functions

Description

Cholesky correlation matrix and standard deviations to covariance matrix

Usage

chol2cov(sigma, cm, tcross = FALSE)

Arguments

sigma	sigma vector
cm	cholesky factor correlation matrix
tcross	set to TRUE to use tcrossprod instead of crossprod. That is, if cm is flipped as in STAN.

Value

matrix, covariances

Examples

# correlation matrix
m <- matrix(c(1,-0.15,0.67,-0.15,1,.2,0.67,.2,1), ncol=3)

# standard deviations on the diagonal
sigma <- c(.5, 1, 1.5)

# R formatted cholesky factor
cm <- chol(m)
chol2cov(sigma, cm)

# STAN formatted cholesky factor
cm <- stan_chol(m)
chol2cov(sigma, cm, TRUE)

iamamutt/mejr documentation built on May 18, 2019, 1:27 a.m.