Pdeconstruct {QRM} | R Documentation |
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).
Pdeconstruct(P)
P |
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vector
P <- Pconstruct(1:6) Pdeconstruct(P)