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cov
2012 Aug 11
3
Problem when creating matrix of values based on covariance matrix
...ky
decomposition (http://www.cerebralmastication.com/2010/09/cholesk-post-on-correlated-random-normal-generation/).
The problem is that the resulting covariance structure in my simulated
data is very different from the original supplied covariance vector.
Lets just look at some of the values:
> cov8[1:4,1:4] # covariance of simulated data
X1 X2 X3 X4
X1 34515296.00 99956.69 369538.1 1749086.6
X2 99956.69 34515296.00 2145289.9 -624961.1
X3 369538.08 2145289.93 34515296.0 -163716.5
X4 1749086.62 -624961.09 -163716.5 34515296.0
> CEUcovar[...