QRM (version 0.4-35)

Pconstruct: Assemble a Correlation Matrix for ML Copula Fitting

Description

This function converts a vector of values representing the terms of a lower triangular matrix \(A\) with ones on the diagonal and returns the correlation matrix corresponding to the covariance matrix \(AA'\) (see page 235 in QRM).

Usage

Pconstruct(theta)

Value

matrix

Arguments

theta

vector, elements of a lower triangular matrix \(A\) with ones on the diagonal.

See Also

link{Pdeconstruct}

Examples

P <- Pconstruct(1:6) 
eigen(P) 
Pdeconstruct(P)