Dear All,
I have a long time series of a covariance matrix stored in a sas dataset. For each observation, there are 7 variables variables like:
"date c11 c21 c31 c22 c32 c33"
where c11 - c33 are the lower triangle elements of the cov-matrix.
In order to make use of some matrix routines in IML, I would like to convert each row into a full matrix:
M= { c11 c21 c31,
c21 c22 c32,
c31 c32 c33 }
Could someone provide some suggestions on the transformation please?
Thanks you!