Financial Toolbox | ![]() ![]() |
Convert covariance to standard deviation and correlation coefficient
Syntax
Arguments
ExpCovariance |
n-by-n covariance matrix, e.g., from cov or ewstats . n is the number of random processes. |
Description
[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
converts covariance to standard deviations and correlation coefficients.
ExpSigma
is a 1-by-n vector with the standard deviation of each process.
ExpCorrC
is an n-by-n matrix of correlation coefficients.
Examples
See Also
corr2cov
, corrcoef
, cov
, ewstats
, std
![]() | corr2cov | cpncount | ![]() |