cov2corr (Financial Toolbox)

Convert covariance to standard deviation and correlation coefficient.

Syntax

[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)

Arguments


`ExpCovariance`	`N`- by-`N` covariance matrix, e.g., from `cov` or `ewstats`. `N` is the number of random processes.

Description

cov2corr

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))

Example

ExpCovariance = [0.25 -0.5
                -0.5   4.0];
[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)

Expected results:

  ExpSigma = 
      0.5  2.0
  ExpCorrC = 
      1.0  -0.5
     -0.5   1.0