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Vectorize a sample of covariance/correlation matrices
vectorize(sample)
Array, the p x p x N sample to vectorize.
p x p x N
A p*(p - 1)/2 x N matrix containing the vectorized sample.
p*(p - 1)/2 x N
Note that if the sample is of covariance matrices, as returned by port() and diagdom(), the diagonal is omitted from the vectorization process.
port()
diagdom()