Pdeconstruct {QRMlib} | R Documentation |
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'
Pdeconstruct(P)
P |
a correlation matrix |
see page 235 in QRM
elements of a lower-triangular matrix
Pconstruct
,
fit.gausscopula
,
fit.tcopula
P <- Pconstruct(c(1,2,3,4,5,6)); Pdeconstruct(P);