statsmodels.stats.moment_helpers.corr2cov(corr, std)
[source]
convert correlation matrix to covariance matrix given standard deviation
Parameters: |
|
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Returns: |
cov – covariance matrix |
Return type: |
ndarray (subclass) |
This function does not convert subclasses of ndarrays. This requires that multiplication is defined elementwise. np.ma.array are allowed, but not matrices.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.moment_helpers.corr2cov.html