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colorednoise (version 1.1.2)

cor2cov: Convert from Correlation Matrix to Covariance Matrix

Description

Convert a correlation matrix to a covariance matrix.

Usage

cor2cov(sigma, corrMatrix)

Value

A covariance matrix with the same dimensions as corrMatrix.

Arguments

sigma

A vector of standard deviations for the variables you're describing. Length must be the same as the number of rows/columns of CorrMatrix.

corrMatrix

A valid correlation matrix.

Examples

Run this code
corr <- matrix(c(1, 0.53, 0.73, 0.53, 1, 0.44, 0.73, 0.44, 1), nrow = 3)
sigmas <- c(2, 0.3, 1.2)
covar <- cor2cov(sigmas, corr)
cov2cor(covar)

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