[R] Creating a correlation matrix from a vector
Peter Ehlers
ehlers at ucalgary.ca
Fri Oct 26 19:32:35 CEST 2012
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
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