Pconstruct {QRMlib} | R Documentation |
takes a vector of values representing the terms of a lower triangular matrix A with ones on the diagonal and calculates the correlation matrix corresponding to the covariance matrix AA'
Pconstruct(theta)
theta |
elements of a lower triangular matrix A with ones on the diagonal |
see page 235 in QRM
correlation matrix corresponding to cobariance matrix AA'
Pdeconstruct
,
fit.gausscopula
,
fit.tcopula
P <- Pconstruct(c(1,2,3,4,5,6)); eigen(P); Pdeconstruct(P);