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Compute a correlation matrix from an existing covariance matrix
4 messages · Marc Bernard, Peter Dalgaard, Kjetil Halvorsen
Marc Bernard <bernarduse1 at yahoo.fr> writes:
Dear All, I am wondering if there is an R function to convert a covariance matrix to a correlation matrix. I have a covariance matrix sigma and I want to compute the corresponding correlation matrix R from sigma.
You mean something like cov2cor()?
(BTW, why doesn't the page for cor/var/cov/cov2cor show up on
help.search("covariance") or help.search("correlation") for me??)
O__ ---- Peter Dalgaard ??ster Farimagsgade 5, Entr.B c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
Marc Bernard wrote:
Dear All, I am wondering if there is an R function to convert a covariance matrix to a correlation matrix. I have a covariance matrix sigma and I want to compute the corresponding correlation matrix R from sigma.
Does cov2cor do what you want? Kjetil
Thank you very much, Bernard --------------------------------- [[alternative HTML version deleted]]
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Peter Dalgaard <p.dalgaard at biostat.ku.dk> writes:
(BTW, why doesn't the page for cor/var/cov/cov2cor show up on
help.search("covariance") or help.search("correlation") for me??)
It's there now. Must have been a temporary condition, possibly in the user...
O__ ---- Peter Dalgaard ??ster Farimagsgade 5, Entr.B c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907