vech2Corr: Convert the vech (column of strictly lower trianglar values from a matrix) into a correlation matrix.
Description
vech2Corr is a convenience function for creating correlation matrices
from a vector of the lower triangular values. It checks the arguments
to make sure they are consistent with the requirements of a
correlation matrix. All values must be in [-1, 1], and the number
of values specified must be correct for a lower triangle.
Usage
vech2Corr(vech)
Value
A symmetric correlation matrix, with 1's on the diagonal.
Arguments
vech
A vector of values for the strictly lower triangle of
a matrix. All values must be in the [0,1] interval (because
they are correlations) and the matrix formed must be positive
definite.