Pdeconstruct {QRM}

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

P <- Pconstruct(1:6) 
Pdeconstruct(P)