QRM: Pdeconstruct – R documentation

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Pdeconstruct

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

Examples

P <- Pconstruct(1:6) 
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