Date: Mon, 18 May 2009 22:50:52 -0700 Umrao "SAS(r) Discussion" Umrao http://groups.google.com variance covariance matrix To: sas-l@uga.edu text/plain; charset=ISO-8859-1

I have a variance-covariance matrix COV. The diagonal numbers are the variances and the off diagonal numbers are the covriances.

COV={0.644607 0.1680246 1.483855 1.6281761 0.7427545, 0.1680246 0.0626773 0.2708275 0.1894284 0.2474915, 1.483855 0.2708275 4.8090391 5.3790562 1.8120638, 1.6281761 0.1894284 5.3790562 8.7463271 0.6100965, 0.7427545 0.2474915 1.8120638 0.6100965 2.2213662};

Is there any procedure to convert the off diagonal numbers that are the covariances into correlations.

i.e., for the second element int he first row i whant to calculate the value as 0.1680246/sqrt(0.644607*0.0626773) this i have to do for all the offdiagonal elements. The new matrix becomes a variance-correlation matrix as

varcorr={0.644607 0.835930597 0.842781127 0.685710831 0.620708515, 0.835930597 0.0626773 0.493296992 0.255845094 0.663277199, 0.842781127 0.493296992 4.8090391 0.829400075 0.554414079, 0.685710831 0.255845094 0.829400075 8.7463271 0.13841259, 0.620708515 0.663277199 0.554414079 0.13841259 2.2213662};

I have to apply the formula for correlation= cov(x,y)/sqrt{var(x)*var (y)} to all the offdiagonal elements of the variance-covariance matrix COV.

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