Hello
I can construct a correlation matrix from an (ordered) vector of
correlation coefficients as follows:
x <- c(0.1,0.2,0.3,0.4,0.5)
n <- length(x)
cmat <- diag(rep(0.5,n))
cmat[lower.tri(cmat,diag=0)] <- x
cmat <- cmat+t(cmat)
But how to do the reverse operation, i.e. produce x from cmat?
Thanks for help,
Serguei Kaniovski
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