cor2cov: Correlation Matrix to Covariance Matrix Conversion
Description
Function to convert a correlation matrix to a covariance matrix.
Usage
cor2cov(cor.mat, sd, discrepancy = 1e-05)
Arguments
cor.mat
the correlation matrix to be converted
sd
a vector that contains the standard deviations of the variables in the correlation matrix
discrepancy
a neighborhood of 1, such that numbers on the main diagonal of the correlation matrix will be considered as equal to 1 if they fall in this neighborhood
Details
The correlation matrix to convert can be either symmetric or triangular. The covariance matrix returned is always a symmetric matrix.