Convert Binary Correlation Matrix to Matrix of Joint Probabilities
Compute a matrix of common probabilities for a binary random vector from given marginal probabilities and correlations.
vector of marginal probabilities.
matrix of binary correlations.
The matrix of common probabilities. This has the probabilities that variable i equals 1 in element (i,i), and the joint probability that variables i and j both equal 1 in element (i,j) (if i != j).
Friedrich Leisch, Andreas Weingessel and Kurt Hornik (1998). On the generation of correlated artificial binary data. Working Paper Series, SFB “Adaptive Information Systems and Modelling in Economics and Management Science”, Vienna University of Economics, http://www.wu-wien.ac.at/am