Creating a correlation matrix from a vector
On 2012-10-26 08:58, David Winsemius wrote:
On Oct 26, 2012, at 6:52 AM, F_Smithers wrote:
I'm looking to create a correlation matrix, but I have already obtained the correlations, which are stored in a vector. (Basically, I'm running a simulation which requires a correlation matrix, but I am simulating the various correlations.) My aim is to create a function that can take the vector, and fit the values into their respective locations in a correlation matrix. (The correlations are ordered as if working along the upper triangle of the correlation matrix row-wise.) The initial step in the function was to create a diagonal matrix of length n, (n being the number of factors) and then add the correlations at each level using a for command.
mat<- matrix(1:16, 4,4) mat[ upper.tri(mat) ]
[1] 5 9 10 13 14 15
newmat <- matrix(NA, 4,4) newmat[ upper.tri(newmat) ] <- mat[ upper.tri(mat) ] newmat
[,1] [,2] [,3] [,4] [1,] NA 5 9 13 [2,] NA NA 10 14 [3,] NA NA NA 15 [4,] NA NA NA NA
newmat[ lower.tri(newmat) ] <- t(newmat[upper.tri(newmat)]) newmat
[,1] [,2] [,3] [,4] [1,] NA 5 9 13 [2,] 5 NA 10 14 [3,] 9 13 NA 15 [4,] 10 14 15 NA
diag(newmat) <- 1 newmat
[,1] [,2] [,3] [,4] [1,] 1 5 9 13 [2,] 5 1 10 14 [3,] 9 13 1 15 [4,] 10 14 15 1
This doesn't quite work; the resulting matrix is not symmetrical. The culprit is the t(newmat[....]) line. I find it easiest to start with a matrix of zeros, fill in the upper.tri part as you have done, then just add newmat and t(newmat), then fix the diagonal. Peter Ehlers