Problem when creating matrix of values based on covariance matrix

Thanks for these replies.
@Peter - are these methods only suitable for pearson covariances? That
would def explain my issues. Sorry for my ignorance, but I would
highly appreciate an explanation. My original covariance matrix is
calculated using spearman as well (which is suitable for the data).
@Michael - I am simulating a sample size of 20351* 8368  so I do not
think that the sample size is the issue here.

2012/8/12 peter dalgaard <pdalgd at gmail.com>:

On Aug 11, 2012, at 16:17 , Boel Brynedal wrote:

cov8=cov(sample8,method='spearman')

There's your problem. I'm surprised that nobody seems to have picked up on this, but Spearman covariances are of the ranks, not of the data. Try method="pearson".

--
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com