Generate Two Type of Correlation Matrix

Generate two type of correlation matrix

cor.mat(p, rho, type='toeplitz')

Arguments

p	a positive integer, the dimension of correlation matrix.
rho	a value between 0 and 1, a baseline vlaue of correlation coefficient.
type	a character, specify the type of correlation matrix and only include 'toeplitz' and 'identity' in current version.

Details

The argument rho specify the size of correlation coeffient. As for argument type, if type='toeplitz', sigma_ij=rho^|i-j|; if type ='identity', sigma_ij=rho when i!=j and sigma_ij=1 when i=j.

Value

return a correlation matrix with a type of specified structure.

References

nothing.

Author

Liu Wei

Note

nothing

See also

cov2cor

Examples

  cor.mat(5, 0.5)
#>        [,1]  [,2] [,3]  [,4]   [,5]
#> [1,] 1.0000 0.500 0.25 0.125 0.0625
#> [2,] 0.5000 1.000 0.50 0.250 0.1250
#> [3,] 0.2500 0.500 1.00 0.500 0.2500
#> [4,] 0.1250 0.250 0.50 1.000 0.5000
#> [5,] 0.0625 0.125 0.25 0.500 1.0000
  cor.mat(5, 0.5, type='identity')
#>      [,1] [,2] [,3] [,4] [,5]
#> [1,]  1.0  0.5  0.5  0.5  0.5
#> [2,]  0.5  1.0  0.5  0.5  0.5
#> [3,]  0.5  0.5  1.0  0.5  0.5
#> [4,]  0.5  0.5  0.5  1.0  0.5
#> [5,]  0.5  0.5  0.5  0.5  1.0