Generate a compound symmetric correlation matrix

Generate a compound symmetric correlation matrix

CSgenerate(n, rho)

Arguments

n

number of dimensions

rho

off-diagonal element - a correlation between -1 and 1. Will warn if less than 0.

Value

returns an \(n \times n\) matrix with 1 on the diagonal and rho on the off-diagonal.

Examples

# generates a covariance matrix with 1 on the main diagonal
# and 0.5 on the off-diagonal elements.
CSgenerate(3, .5)
#>      [,1] [,2] [,3]
#> [1,]  1.0  0.5  0.5
#> [2,]  0.5  1.0  0.5
#> [3,]  0.5  0.5  1.0