translate vector of correlation parameters to correlation values
translate vector of correlation parameters to correlation values
get_cor(theta)
theta |
vector of internal correlation parameters |
This function follows the definition at http://kaskr.github.io/adcomp/classUNSTRUCTURED__CORR__t.html: if L is the lower-triangular matrix with 1 on the diagonal and the correlation parameters in the lower triangle, then the correlation matrix is defined as Sigma = sqrt(D) L L' sqrt(D), where D = diag(L L'). For a single correlation parameter theta0, this works out to rho = theta0/sqrt(1+theta0^2). The function returns the elements of the lower triangle of the correlation matrix, in column-major order.
a vector of correlation values
th0 <- 0.5 stopifnot(all.equal(get_cor(th0),th0/sqrt(1+th0^2))) get_cor(c(0.5,0.2,0.5))
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