Pconstruct {QRMlib}R Documentation

Assemble a Correlation Matrix for ML Copula Fitting

Description

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'

Usage

Pconstruct(theta)

Arguments

theta elements of a lower triangular matrix A with ones on the diagonal

Details

see page 235 in QRM

Value

correlation matrix corresponding to cobariance matrix AA'

See Also

Pdeconstruct, fit.gausscopula, fit.tcopula

Examples

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


[Package QRMlib version 1.4.4 Index]