cor2cov: Correlation to Covariance

In jeksterslabds/jeksterslabRds: Jekster's Lab Data Science and Statistics

Description

Converts a correlation matrix to a covariance matrix.

Usage

cor2cov(cor, sd)

Arguments

cor	A p \times p positive definite correlation matrix.
sd	A vector of p standard deviations.

Value

Returns a covariance matrix.

Author(s)

Ivan Jacob Agaloos Pesigan

See Also

Other matrix functions: low2sym(), tr(), up2sym()

Examples

Sigma_dot <- matrix(
  data = c(
    1, 0.509902, 0.26,
    0.509902, 1, 0.509902,
    0.26, 0.509902, 1
  ),
  ncol = 3
)
cor2cov(cor = Sigma_dot, sd = c(15, 15, 15))

jeksterslabds/jeksterslabRds documentation built on July 16, 2020, 3:41 p.m.