CovMat <- function(sigma1 = 2, sigma2 = 3, rho = 0.5){ if (sigma1 <= 0 | sigma2 <= 0 | rho < -1 | rho > 1) stop("Incorrect input parameters.") if (rho == 1 | rho == -1) warning("Really perfect correlation?") Sigma <- matrix(c(sigma1^2, rho*sigma1*sigma2, rho*sigma1*sigma2, sigma2^2), nrow=2) return(Sigma) }