ILSE (version 1.1.7)

cor.mat: Generate Two Type of Correlation Matrix

Description

Generate two type of correlation matrix

Usage

cor.mat(p, rho, type='toeplitz')

Arguments

p

a positive integer, the dimension of correlation matrix.

rho

a value between 0 and 1, a baseline vlaue of correlation coefficient.

type

a character, specify the type of correlation matrix and only include 'toeplitz' and 'identity' in current version.

Value

return a correlation matrix with a type of specified structure.

Details

The argument rho specify the size of correlation coeffient. As for argument type, if type='toeplitz', sigma_ij=rho^|i-j|; if type ='identity', sigma_ij=rho when i!=j and sigma_ij=1 when i=j.

References

nothing.

See Also

cov2cor

Examples

# NOT RUN {
  cor.mat(5, 0.5)
  cor.mat(5, 0.5, type='identity')
# }