Generate covariance matrix from correlation matrix

Question

I have a correlation matrix:

a <- matrix(c(1, .8, .8, .8, 1, .8, .8, .8, 1), 3)

##      [,1] [,2] [,3]
## [1,]  1.0  0.8  0.8
## [2,]  0.8  1.0  0.8
## [3,]          


        

Answer 1

The answer marked as correct is wrong.

The correct solution seems to be the one provided by MBESS package, so see the post from dayne.

> a
     [,1] [,2] [,3]
[1,]  1.0  0.8  0.8
[2,]  0.8  1.0  0.8
[3,]  0.8  0.8  1.0
> b <- c(3,10,3)
> b %*% t(b)
     [,1] [,2] [,3]
[1,]    9   30    9
[2,]   30  100   30
[3,]    9   30    9
> c <- b %*% t(b)
> c %*% a
      [,1]  [,2]  [,3]
[1,]  40.2  44.4  40.2
[2,] 134.0 148.0 134.0
[3,]  40.2  44.4  40.2
> cor2cov(cor.mat=a, b )
     [,1] [,2] [,3]
[1,]  9.0   24  7.2
[2,] 24.0  100 24.0
[3,]  7.2   24  9.0
> a %*% c
     [,1] [,2] [,3]
[1,] 40.2  134 40.2
[2,] 44.4  148 44.4
[3,] 40.2  134 40.2
>