statsmodels.stats.moment_helpers.corr2cov

statsmodels.stats.moment_helpers.corr2cov(corr, std) [source]

convert correlation matrix to covariance matrix given standard deviation

Parameters:
  • corr (array_like, 2d) – correlation matrix, see Notes
  • std (array_like, 1d) – standard deviation
Returns:

cov – covariance matrix

Return type:

ndarray (subclass)

Notes

This function does not convert subclasses of ndarrays. This requires that multiplication is defined elementwise. np.ma.array are allowed, but not matrices.

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.moment_helpers.corr2cov.html