QRM (version 0.4-7)

Pconstruct: Assemble a Correlation Matrix for ML Copula Fitting

Description

This function converts a vector of values representing the terms of a lower triangular matrix $A$ with ones on the diagonal and returns the correlation matrix corresponding to the covariance matrix $AA'$ (see page 235 in QRM).

Usage

Pconstruct(theta)

Arguments

theta

vector, elements of a lower triangular matrix $A$ with ones on the diagonal.

Value

• matrix

See Also

link{Pdeconstruct}

Examples

P <- Pconstruct(1:6) 
eigen(P) 
Pdeconstruct(P)