Financial Toolbox

cov2corr

Convert covariance to standard deviation and correlation coefficient

Syntax

• [ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
  

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.

• ExpSigma(i) = sqrt(ExpCovariance(i,i))
  ExpCorrC(i,j) = ExpCovariance(i,j)/(ExpSigma(i)*ExpSigma(j))
  

Examples

• ExpCovariance = [0.25 -0.5
                  -0.5   4.0];
  
  [ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
  

Expected results:

•   ExpSigma =
  
      0.5000    2.0000
  
  ExpCorrC =
  
      1.0000   -0.5000
     -0.5000    1.0000
  

See Also

corr2cov, corrcoef, cov, ewstats, std

corr2cov

cpncount