rebuild.cov {corpcor} | R Documentation |
rebuild.cov
takes a correlation matrix and a vector with variances
and reconstructs the corresponding covariance matrix.
For the inverse operation use cov2cor
.
rebuild.cov(r, v)
r |
correlation matrix |
v |
variance vector |
A covariance matrix.
Korbinian Strimmer (http://www.statistik.lmu.de/~strimmer/).
# load corpcor library library("corpcor") # some statistics on the US states data(state) m <- t(state.x77) dim(m) # sample size: 8, number of variables: 50 # covariance matrix m.cov <- cov(m) m.cov # variances m.var <- diag(m.cov) m.var # correlation matrix m.cor.1 <- cor(m) m.cor.1 # correlation matrix via covariance matrix m.cor.2 <- cov2cor(m.cov) m.cor.2 zapsmall(m.cor.1) == zapsmall(m.cor.2) # reconstruct covariance matrix rebuild.cov(m.cor.1, m.var)