[R] Choleski decomposition

[David Winsemius]

On Nov 30, 2012, at 10:34 AM, jaybell wrote:

> 	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

Cross-posting to rhelp and Stackoverflow is deprecated (at least on Rhelp). If you didn't get effective advice after a reasonable interval (measured in days) it would make sense to look elsewhere. But this is essentially a statistics questions rather than a coding question and you were advised on SO to post the question on a website that is designed for statistics questions. Rhelp is not that site.

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David Winsemius, MD
Alameda, CA, USA