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