R help - May 2008 - Converting variance covariance matrix to correlation matrix

Suppose I have a Variance-covariance matrix A. Is there any fast way to
calculate correlation matrix from 'A' and vice-versa without emplying
any
'for' loop?

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Arun Kumar Saha wrote:
> Suppose I have a Variance-covariance matrix A. Is there any fast way to
> calculate correlation matrix from 'A' and vice-versa without
emplying any
> 'for' loop?
>   
C <- cov2cor(A)

The other way around is ill-defined, but if d is the vector of variances,

d <- sqrt(diag(A))
A <- outer(d, d)*C.

-- 
   O__  ---- Peter Dalgaard             ?ster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
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check the following:

# covariance matrix
V <- var(matrix(rnorm(10*4), 10, 4))
cov2cor(V)

# correlation matrix
R <- cov2cor(V)
# vector of std. dev.
sds <- rnorm(4)^2
R * sds * rep(sds, each = nrow(R))


I hope it helps.

Best,
Dimitris

----
Dimitris Rizopoulos
Biostatistical Centre
School of Public Health
Catholic University of Leuven

Address: Kapucijnenvoer 35, Leuven, Belgium
Tel: +32/(0)16/336899
Fax: +32/(0)16/337015
Web: http://med.kuleuven.be/biostat/
     http://www.student.kuleuven.be/~m0390867/dimitris.htm


----- Original Message ----- 
From: "Arun Kumar Saha" <arun.kumar.saha at gmail.com>
To: "r-help at stat.math.ethz.ch" <R-help at stat.math.ethz.ch>
Sent: Monday, May 19, 2008 8:32 AM
Subject: [R] Converting variance covariance matrix to correlation 
matrix

> Suppose I have a Variance-covariance matrix A. Is there any fast way 
> to
> calculate correlation matrix from 'A' and vice-versa without 
> emplying any
> 'for' loop?
>
> [[alternative HTML version deleted]]
>
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