Generate a compound symmetric correlation matrix
CSgenerate(n, rho)
n | number of dimensions |
---|---|
rho | off-diagonal element - a correlation between -1 and 1. Will warn if less than 0. |
returns an \(n \times n\) matrix with 1 on the diagonal and
rho
on the off-diagonal.
# 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