[R] Creating a correlation matrix from a vector

[David Winsemius]

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

-- 

David Winsemius, MD
Alameda, CA, USA