cor2cov: Back transform correlation matrix to variance-covariance...

In nfultz/stackoverflow: Stack Overflow's Greatest Hits

Description

Compute a variance-covariance matrix from a correlation matrix and standard deviations.

Usage

cor2cov(V, sd = sqrt(diag(V)))

Arguments

V	a variance covariance matrix
sd	a vector of standard deviations - if ommitted, use the sqrt of the diagonal of V

Value

a variance-covariance matrix

Author(s)

S4M,

References

https://stackoverflow.com/questions/18740796/generate-covariance-matrix-from-correlation-matrix

See Also

cor

Examples

stopifnot(all.equal(
  cor2cov(cor(mtcars), sapply(mtcars, sd)), 
  cov(mtcars)
))

nfultz/stackoverflow documentation built on Aug. 4, 2020, 5:31 a.m.