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cor2cov

Back transform correlation matrix to variance-covariance matrix

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

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

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

a variance-covariance matrix

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

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v0.7.0

CC BY-SA 4.0

Authors

Neal Fultz <nfultz@gmail.com> and the StackOverflow.com community

Initial release

2020-01-03