[R] Constructing correlation matrices
Greetings, I have a seemingly simple task which I have not been able to solve today and I checked all of the help archives on this and have been unable to find anything useful. I want to construct a symmetric matrix of arbtriray size w/o using loops. The following I thought would do it: p - 6 Rmat - diag(p) dat.cor - rnorm(p*(p-1)/2) Rmat[outer(1:p, 1:p, )] - Rmat[outer(1:p, 1:p, )] - dat.cor However, the problem is that the matrix is filled by column and so the resulting matrix is not symmetric. I'd be grateful for any adive and/or solutions. Gregory - [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Constructing correlation matrices
See ?dist for an object oriented approach that may be better. Directly, you can do something like (see ?row ?col): x - matrix(NA, 10,10) ## Lower triangular : x[row(x) = col(x) ] - rnorm(55) x[row(x) col(x)] - x[row(x) col(x)] ## or you could have saved the random vector and re-used it. Bert Gunter Genentech Nonclinical Statistics -Original Message- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Gregory Gentlemen Sent: Sunday, July 29, 2007 7:32 PM To: r-help@stat.math.ethz.ch Subject: [R] Constructing correlation matrices Greetings, I have a seemingly simple task which I have not been able to solve today and I checked all of the help archives on this and have been unable to find anything useful. I want to construct a symmetric matrix of arbtriray size w/o using loops. The following I thought would do it: p - 6 Rmat - diag(p) dat.cor - rnorm(p*(p-1)/2) Rmat[outer(1:p, 1:p, )] - Rmat[outer(1:p, 1:p, )] - dat.cor However, the problem is that the matrix is filled by column and so the resulting matrix is not symmetric. I'd be grateful for any adive and/or solutions. Gregory - [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Constructing correlation matrices
Greg, I take it that you're trying to generate a random correlation matrix, so first create a covariance matrix, p = 6 v = matrix(rnorm(p*p), ncol=p) cov = t(v) %*% v Then convert it to a correlation matrix, cov2cor(cov) HTH. Horace Gregory Gentlemen [EMAIL PROTECTED] 7/29/2007 7:31:36 PM Greetings, I have a seemingly simple task which I have not been able to solve today and I checked all of the help archives on this and have been unable to find anything useful. I want to construct a symmetric matrix of arbtriray size w/o using loops. The following I thought would do it: p - 6 Rmat - diag(p) dat.cor - rnorm(p*(p-1)/2) Rmat[outer(1:p, 1:p, )] - Rmat[outer(1:p, 1:p, )] - dat.cor However, the problem is that the matrix is filled by column and so the resulting matrix is not symmetric. I'd be grateful for any adive and/or solutions. Gregory - [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Constructing correlation matrices (follow up)
Greg, in light of Doug Bates' question, what i have suggested a little early in response to your question is known as a Wishart matrix with n degree of freedom, which is guarenteed to be positive definite. If this is not what you want, you have to be more specific about the property of this correlation matrix you want to simulate. H. = Greg, I take it that you're trying to generate a random correlation matrix, so first create a covariance matrix, p = 6 v = matrix(rnorm(p*p), ncol=p) cov = t(v) %*% v Then convert it to a correlation matrix, cov2cor(cov) HTH. Horace Gregory Gentlemen [EMAIL PROTECTED] 7/29/2007 7:31:36 PM Greetings, I have a seemingly simple task which I have not been able to solve today and I checked all of the help archives on this and have been unable to find anything useful. I want to construct a symmetric matrix of arbtriray size w/o using loops. The following I thought would do it: p - 6 Rmat - diag(p) dat.cor - rnorm(p*(p-1)/2) Rmat[outer(1:p, 1:p, )] - Rmat[outer(1:p, 1:p, )] - dat.cor However, the problem is that the matrix is filled by column and so the resulting matrix is not symmetric. I'd be grateful for any adive and/or solutions. Gregory - [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
