Convert loadings + precisions to cross-biomarker correlation

Combines cross_cov_from_loadings() and marginal_var_2a() to give the same-parameter cross-biomarker correlation for a single MCMC draw: $$\rho_p = c_p / \sqrt{\mathrm{Var}(par_{1,p})\,\mathrm{Var}(par_{2,p})}.$$

Usage

cross_cor_from_draw_2a(lambda_mat, prec_par_1, prec_par_2)

Arguments

lambda_mat

A K x P loadings matrix (rows = biomarkers).

prec_par_1

A P x P precision matrix for biomarker 1.

prec_par_2

A P x P precision matrix for biomarker 2.

Value

A length-P numeric vector of cross-biomarker correlations.