Conversion of Correlation Matrix and Vector of Variances to Variance-Covariance Matrix

Source: R/cov_cor_conversion.R

The same approach as in `base::cov2cor()` is used to compute the variance-covariance matrix from a matrix of correlations and a vector of variance values.

cor_to_cov(pmat_cor, pvec_var)

Arguments

pmat_cor

correlation matrix
pvec_var

vector of variance components

Value

variance covariance matrix

Examples

## Taken from ?cov2cor: Correlation Matrix of Multivariate sample:
Cv <- cov(longley)
Cl <- cor(longley)
stopifnot(all.equal(cor_to_cov(Cl, diag(Cv)), Cv))