Convert covariance matrix to correlation matrix
The function is "remix" of native matlab cov2corr() function, which produces correlation matrix with elements on its main diagonal slightly greater or less then 1. So it can't be used in various further computations, for example in squareform() function.
The problem can be resolved simply by setting all the diagonal elements to 1 (freaky way) or by using variance instead of std while computing correlation matrix (covariance(x,y)/sqrt(var(x)*var(y)) instead of covariance(x,y)/(std(x)*std(y))).
Cite As
Denis (2024). Convert covariance matrix to correlation matrix (https://www.mathworks.com/matlabcentral/fileexchange/20630-convert-covariance-matrix-to-correlation-matrix), MATLAB Central File Exchange. Retrieved .
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- Signal Processing > Signal Processing Toolbox > Transforms, Correlation, and Modeling > Correlation and Convolution >
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1.0.0.0 |