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!
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