QRM: equicorr – R documentation

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equicorr

Equal Correlation Matrix

Description

Construction of an equal correlation matrix

Usage

equicorr(d, rho)

Arguments

`d`	integer, dimension of matrix
`rho`	numeric, value of correlation

Value

matrix

Examples

equicorr(7, 0.5)
ll <- c(0.01, 0.99)
BiDensPlot(func = dcopula.gauss, xpts = ll, ypts = ll,
           Sigma = equicorr(2,0.5))
BiDensPlot(func = dcopula.t, xpts = ll, ypts = ll , df = 4,
           Sigma = equicorr(2, 0.5))

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