MBESS (version 4.6.0)

cor2cov: Correlation Matrix to Covariance Matrix Conversion

Description

Function to convert a correlation matrix to a covariance matrix.

Usage

cor2cov(cor.mat, sd, discrepancy=1e-5)

Arguments

cor.mat

the correlation matrix to be converted

sd

a vector that contains the standard deviations of the variables in the correlation matrix

discrepancy

a neighborhood of 1, such that numbers on the main diagonal of the correlation matrix will be considered as equal to 1 if they fall in this neighborhood

Details

The correlation matrix to convert can be either symmetric or triangular. The covariance matrix returned is always a symmetric matrix.