cor2cov {propagate} | R Documentation |
Converting a correlation matrix into a covariance matrix
Description
Converts a correlation matrix into a covariance matrix using variance information. It is therefore the opposite of cov2cor
.
Usage
cor2cov(C, var)
Arguments
C |
a symmetric numeric correlation matrix |
var |
a vector of variances |
Details
Calculates the covariance matrix \mathbf{\Sigma}
using a correlation matrix \mathbf{C}
and outer products of the standard deviations \sigma_n
:
\mathbf{\Sigma} = \mathbf{C} \cdot \sigma_n \otimes \sigma_n
Value
The corresponding covariance matrix.
Author(s)
Andrej-Nikolai Spiess
Examples
## Example in Annex H.2 from the GUM 2008 manual
## (see 'References'), simultaneous resistance
## and reactance measurement.
data(H.2)
attach(H.2)
## Original covariance matrix.
COV <- cov(H.2)
## extract variances
VAR <- diag(COV)
## cor2cov covariance matrix.
COV2 <- cor2cov(cor(H.2), VAR)
## Equal to original covariance matrix.
all.equal(COV2, COV)
[Package propagate version 1.0-6 Index]