cov2corr (Financial Toolbox)

cov2corr
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.

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

Description
[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))

Examples

ExpCovariance = [0.25 -0.5
                -0.5   4.0];

[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)

Expected results:

  ExpSigma =

    0.5000    2.0000

ExpCorrC =

    1.0000   -0.5000
   -0.5000    1.0000

See Also
corr2cov, corrcoef, cov, ewstats, std

corr2cov cpncount