[R] Converting variance covariance matrix to correlation matrix

[Peter Dalgaard]

Arun Kumar Saha wrote:
> Suppose I have a Variance-covariance matrix A. Is there any fast way to
> calculate correlation matrix from 'A' and vice-versa without emplying any
> 'for' loop?
>   
C <- cov2cor(A)

The other way around is ill-defined, but if d is the vector of variances,

d <- sqrt(diag(A))
A <- outer(d, d)*C.

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