statsmodels.stats.moment_helpers.corr2cov¶
-
statsmodels.stats.moment_helpers.
corr2cov
(corr, std)[source]¶ convert correlation matrix to covariance matrix given standard deviation
- Parameters
- corrarray_like, 2d
correlation matrix, see Notes
- stdarray_like, 1d
standard deviation
- Returns
- cov
ndarray
(subclass
) covariance matrix
- cov
Notes
This function does not convert subclasses of ndarrays. This requires that multiplication is defined elementwise. np.ma.array are allowed, but not matrices.