Assemble a Correlation Matrix for ML Copula Fitting

Description

This function converts a vector of values representing the terms of a lower triangular matrix A with ones on the diagonal and returns the correlation matrix corresponding to the covariance matrix AA' (see page 235 in QRM).

Usage

Pconstruct(theta)

Arguments

Value

matrix

See Also

link{Pdeconstruct}

Examples

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

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(QRM)
Loading required package: gsl
Loading required package: Matrix
Loading required package: mvtnorm
Loading required package: numDeriv
Loading required package: timeSeries
Loading required package: timeDate

Attaching package: 'QRM'

The following object is masked from 'package:base':

    lbeta

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/QRM/Pconstruct.Rd_%03d_medium.png", width=480, height=480)
> ### Name: Pconstruct
> ### Title: Assemble a Correlation Matrix for ML Copula Fitting
> ### Aliases: Pconstruct
> ### Keywords: array
> 
> ### ** Examples
> 
> P <- Pconstruct(1:6) 
> eigen(P) 
$values
[1] 3.0014434375 0.7409637346 0.2570061202 0.0005867077

$vectors
           [,1]       [,2]       [,3]       [,4]
[1,] -0.4010968  0.8095946  0.3497379 -0.2477122
[2,] -0.5557703  0.1353948 -0.4794124  0.6655460
[3,] -0.5446668 -0.3069388 -0.3920949 -0.6748247
[4,] -0.4833000 -0.4816777  0.7029287  0.2007458

> Pdeconstruct(P) 
[1] 1 2 3 4 5 6
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>