ILSE (version 1.1.7)

cov.mat: Generate Two Type of Covariance Matrix

Description

Generate two type of covariance matrix

Usage

cov.mat(sdvec,rho, type='toeplitz')

Arguments

sdvec

a positive vector, standard deviation of each random variable.

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 covariance 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 {
  cov.mat(rep(5,5), 0.5)
  cov.mat(c(2,4,3), 0.5, type='identity')
# }