Convert covariance to standard deviation and correlation coefficient
[ExpSigma,ExpCorrC] = cov2corr(ExpCovariance)
| n-by-n covariance
matrix; for example, from |
[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))