Generate a covariance matrix.
Arguments
- S
A vector of standard deviations
- OMEGA
A correlation matrix
Value
an \(N \times N\) covariance matrix, where N = length(S).
Examples
sds <- c(1, 2)
corrs <- matrix(c(1, .5, .5, 1), nrow = 2)
cov_matrix(sds, corrs)
#> [,1] [,2]
#> [1,] 1 1
#> [2,] 1 4