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PUMP (version 1.0.4)

gen_cov_matrix: generate covariance matrix between two variables

Description

generate covariance matrix between two variables

Usage

gen_cov_matrix(D, var1.vec, var2.vec, rho.matrix)

Value

Sigma matrix of covariance

Arguments

D

dimension of matrix

var1.vec

vector of variances of first variable

var2.vec

vector of variances of second variable

rho.matrix

matrix of correlations