Convert Covariance Matrix to a Correlation Matrix
nmat converts a covariance matrix (stored as a vector, col by col) to a correlation matrix (also stored as a vector).
nmat(vec)
vec |
k x k Cov matrix stored as a k*k x 1 vector (col by col) |
This routine is often used with apply to convert an R x (k*k) array of covariance MCMC draws to correlations. As in corrdraws = apply(vardraws, 1, nmat).
k*k x 1 vector with correlation matrix
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Anderson School, UCLA, perossichi@gmail.com.
set.seed(66) X = matrix(rnorm(200,4), ncol=2) Varmat = var(X) nmat(as.vector(Varmat))
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