buildCor: Functions to build correlation and covariance matrices.
In metRology: Support for Metrological Applications

Description Usage Arguments Details Value Author(s) References See Also Examples

Functions to build and update correlation and covariance matrices using a compact specification of off-diagonal terms.

buildCor(n, cors)

updateCor(cor, cors, cor.names)

buildCov(s, covs, vars = s^2, cors, cov.names)

updateCov(cov, covs, cors, cov.names)

`n`	scalar: number of rows/colums required in correlation matrix.
`cors, covs`	3-column matrix or data frame specification of individual correlation or covariance terms. Can also be a vector of length 3. See Details.
`s, vars`	vector of standard deviations or variances respectively. One of `s` or `vars` must be present.
`cor.names, cov.names`	vectors of names for the rows and columns of the returned matrix. `cov.names` defaults to `names(s)` if `s` is named.
`cor, cov`	correlation or covariance matrix requiring amendment.

For buildCor, the size of the returned correlation matrix is set using n; an n by n correlation matrix is returned. For buildCov the size is set to length(s) by length(s).

Each row of cors specifies a correlation term r[i,j] in the form (i, j, r[i,j]. That is, the first two columns give the row and column in the desired correlation matrix, and the third gives the relevant correlation coefficient. On constructing or updating the correlation matrix, r[i,j] is set equal to r[j,i], so it is only necessary to specify one of r[i,j] or r[j,i].

covs specifies covariance terms in the same way except that the third column of covs must be a covariance.

If either cors or covs is a vector of length 3, it is coerced to a matrix of three columns.

If cor.names or cov.names are present, the matrix returned has dimnames set to the names supplied.

All four functions test for positive definite return values and generate a warning if not positive definite.

A square symmetric correlation or covariance matrix.

S. L. R. Ellison s.ellison@lgc.co.uk

None.

    
    #Duplicate correlation for example for uncert()
    buildCor(4, cors=c(3, 4, 0.5))
               
    
    #Multiple correlations
    r<-buildCor(3, cors=rbind( c(1,2,0.5), c(2,3,0.25) ) )
    r
    
    updateCor(r, cors=c(1,3,0.13)) #perhaps more realistic
    
    buildCov(1:3, cors=rbind( c(1,2,0.5), c(2,3,0.25),c(1,3,0.13) ) )