cor2cov function

Convert correlation to covariance

cor2cov(V, sd, empirical = FALSE)

cor2cov_ar(V, sd, empirical = FALSE)

Arguments

• V: A correlation matrix, usually positive semi-definite.
• sd: A vector of standard deviations.
• empirical: Logical; TRUE if V is empirical correlation.

Returns

A correlation matrix.

Details

cor2cov converts a matrix. cor2cov_ar converts an 3-D array.

Examples

V <- matrix(c(1, 0.5, 0.5, 1), ncol = 2)
sd <- 1:2
cor2cov(V, sd)

V_ar <- array(c(1, 0.5, 0.5, 1), dim = c(2, 2, 2))
cor2cov_ar(V_ar, sd)