cor2cov: Correlation to Covariance

In jeksterslabds/jeksterslabRmatrix: Jekster's Lab Matrix Algebra Utilities

Description

Converts a correlation matrix to a covariance matrix.

Usage

cor2cov(cor, sd)

Arguments

cor	Numeric matrix. A p \times p positive definite correlation matrix.
sd	Numeric vector. 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

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

jeksterslabds/jeksterslabRmatrix documentation built on Aug. 4, 2020, 5:18 a.m.