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Convert from standard deviation and correlation matrix to covariance matrix.
cor2cov(cor, sd)
A covariance matrix.
A correlation matrix. If sd is missing, the diagonal entries are taken to be the standard deviations, otherwise they are ignored.
sd
A vector of standard deviations (optional).
cor2cov(matrix(c(1, 0.5, 0.5, 1), 2, 2), 0.1)
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