# cov2corr

Convert covariance to standard deviation and correlation coefficient

## Syntax

```[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
```

## Arguments

 `ExpCovariance` n-by-n covariance matrix; for example, 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

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### Convert Covariance to Standard Deviations and Correlation Coefficients

This example shows how to convert a covariance matrix to standard deviations and correlation coefficients.

```ExpCovariance = [0.25 -0.5 -0.5 4.0]; [ExpSigma, ExpCorrC] = cov2corr(ExpCovariance) ```
```ExpSigma = 0.5000 2.0000 ExpCorrC = 1.0000 -0.5000 -0.5000 1.0000 ```