Pdeconstruct

This function takes a correlation matrix \(P\) and returns the
 elements of a lower-triangular matrix \(A\) with ones on the
 diagonal such that \(P\) is the corelation matrix corresponding to
 the covariance matrix \(AA'\) (see page 235 in QRM).

array

Provides functions/methods to accompany the book
Quantitative Risk Management: Concepts, Techniques and Tools by
Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.

Bernhard Pfaff

Provides R-Language Code to Examine Quantitative Risk Management
Concepts

Marius Hofert

Alexander McNeil)

Scott Ulmann

Pdeconstruct function

<dl><dt>P</dt>
<dd><code>matrix</code>, a correlation matrix</dd></dl>

Arguments

Disassemble a Correlation Matrix for ML Copula Fitting — Pdeconstruct

<dl>

<dt>P</dt>
<dd><code>matrix</code>, a correlation matrix</dd>

</dl>

Pdeconstruct: Disassemble a Correlation Matrix for ML Copula Fitting

Description

Usage

Value

Arguments

See Also

Examples