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in Data Science by (18.4k points)

I have a correlation matrix

A <- matrix(c(1,0.3,-0.5,0.3,1,0.5,-0.5,0.5,1),nrow=3,ncol=3)

> A

     [,1] [,2] [,3]

[1,]  1.0  0.3 -0.5

[2,]  0.3  1.0  0.5

[3,] -0.5  0.5  1.0

is it possible to convert this to a variance-covariance matrix in Rstudio?

1 Answer

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by (36.8k points)

If A is an n x n correlation matrix then covariance matrix is

diag(s) %*% A %*% diag(s)

where 's' is the n-vector of standard deviations.

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