get_cor: translate vector of correlation parameters to correlation values,
following the definition at http://kaskr.github.io/adcomp/classUNSTRUCTURED__CORR__t.html:
if \(L\) is the lower-triangular matrix with 1 on the diagonal and the correlation parameters in the lower triangle, then the correlation matrix is defined as \(\Sigma = D^{-1/2} L L^\top D^{-1/2}\), where \(D = \textrm{diag}(L L^\top)\). For a single correlation parameter \(\theta_0\), this works out to \(\rho = \theta_0/\sqrt{1+\theta_0^2}\).
Description
translate vector of correlation parameters to correlation values,
following the definition at http://kaskr.github.io/adcomp/classUNSTRUCTURED__CORR__t.html:
if \(L\) is the lower-triangular matrix with 1 on the diagonal and the correlation parameters in the lower triangle, then the correlation matrix is defined as \(\Sigma = D^{-1/2} L L^\top D^{-1/2}\), where \(D = \textrm{diag}(L L^\top)\). For a single correlation parameter \(\theta_0\), this works out to \(\rho = \theta_0/\sqrt{1+\theta_0^2}\).