Convert correlation to covariance

Convert correlation to covariance

Usage

cor2cov(V, sd, empirical = FALSE)

cor2cov_ar(V, sd, empirical = FALSE)

Arguments

V

A correlation matrix, usually positive semi-definite.

sd

A vector of standard deviations.

empirical

Logical; TRUE if V is empirical correlation.

Value

A correlation matrix.

Details

cor2cov converts a matrix. cor2cov_ar converts an 3-D array.

Examples

V <- matrix(c(1, 0.5, 0.5, 1), ncol = 2)
sd <- 1:2
cor2cov(V, sd)
#>      [,1] [,2]
#> [1,]    1    1
#> [2,]    1    4

V_ar <- array(c(1, 0.5, 0.5, 1), dim = c(2, 2, 2))
cor2cov_ar(V_ar, sd)
#> , , 1
#> 
#>      [,1] [,2]
#> [1,]    1    1
#> [2,]    1    4
#> 
#> , , 2
#> 
#>      [,1] [,2]
#> [1,]    1    1
#> [2,]    1    4
#>