QRM: Pconstruct – R documentation

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Pconstruct

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

theta

vector, elements of a lower triangular matrix A with ones on the diagonal.

Value

matrix

Examples

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

QRM

Provides R-Language Code to Examine Quantitative Risk Management Concepts

v0.4-31

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)

Initial release

2020-02-15