| 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)