On 21-Dec-04 Haynes, Maurice (NIH/NICHD) wrote:
> Dear list members,
>
> Where can I find code for computing the p*p variance-covariance
> matrix given a vector of p variances (ordered varA, varB, ...,
> varp) and a vector of all possible correlations (ordered corAB,
> corAC, ..., corp-1,p)?
> [...]
example:
> X<-cbind(rnorm(10),rnorm(10))
> cov(X)
[,1] [,2]
[1,] 0.90141614 0.09364018
[2,] 0.09364018 0.88476825
> cor(X)
[,1] [,2]
[1,] 1.0000000 0.1048540
[2,] 0.1048540 1.0000000
> vars<-apply(X,2,var)
> vars
[1] 0.9014161 0.8847682
> diag(sqrt(vars))%*%cor(X)%*%diag(sqrt(vars))
[,1] [,2]
[1,] 0.90141614 0.09364018
[2,] 0.09364018 0.88476825
Ted.
--------------------------------------------------------------------
E-Mail: (Ted Harding) <[EMAIL PROTECTED]>
Fax-to-email: +44 (0)870 094 0861 [NB: New number!]
Date: 21-Dec-04 Time: 13:54:45
------------------------------ XFMail ------------------------------
______________________________________________
[EMAIL PROTECTED] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
