Pdeconstruct {QRMlib}R Documentation

Disassemble a Correlation Matrix for ML Copula Fitting

Description

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'

Usage

Pdeconstruct(P)

Arguments

P a correlation matrix

Details

see page 235 in QRM

Value

elements of a lower-triangular matrix

See Also

Pconstruct, fit.gausscopula, fit.tcopula

Examples

P <- Pconstruct(c(1,2,3,4,5,6)); 
Pdeconstruct(P); 

[Package QRMlib version 1.4.4 Index]