QRM (version 0.4-31)

Pdeconstruct: Disassemble a Correlation Matrix for ML Copula Fitting

Description

This function takes a correlation matrix \(P\) and returns the elements of a lower-triangular matrix \(A\) with ones on the diagonal such that \(P\) is the corelation matrix corresponding to the covariance matrix \(AA'\) (see page 235 in QRM).

Usage

Pdeconstruct(P)

Arguments

P

matrix, a correlation matrix

Value

vector

See Also

Pconstruct

Examples

# NOT RUN {
P <- Pconstruct(1:6) 
Pdeconstruct(P) 
# }