Convert the vech (column of strictly lower trianglar values from a matrix) into a correlation matrix.
vech2Corr is a convenience function for creating correlation matrices from a vector of the lower triangular values. It checks the arguments to make sure they are consistent with the requirements of a correlation matrix. All values must be in [-1, 1], and the number of values specified must be correct for a lower triangle.
vech2Corr(vech)
vech |
A vector of values for the strictly lower triangle of a matrix. All values must be in the [0,1] interval (because they are correlations) and the matrix formed must be positive definite. |
Use this in combination with the lazyCov function to
convert a vector of standard deviations and the correlation matrix
into a covariance matrix.
A symmetric correlation matrix, with 1's on the diagonal.
Paul E. Johnson <pauljohn@ku.edu>
Similar functions exist in many packages, see
vec2sm in corpcor, xpnd in MCMCpack
v <- c(0.1, 0.4, -0.5) vech2Corr(v) v <- c(0.1, 0.4, -0.4, 0.4, 0.5, 0.1) vech2Corr(v)
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