Message-ID: <1354300442427-4651475.post@n4.nabble.com>
Date: 2012-11-30T18:34:02Z
From: jaybell
Subject: Choleski decomposition
m <- matrix(nrow=5, ncol=5)
m <- ifelse(row(m)==col(m), 1, 0.2)
c <- chol(m) # Choleski decomposition
u <- matrix(rnorm(2000*5), ncol=5)
uc <- u %*% c
cr <- pnorm(uc)
cr <- qbinom(cr,1,0.5)
cor(cr)
I expected that the cor(cr) to be 0.2 as i set in m, but the result is
around 0.1.
Why is that? Thanks
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