statsmodels.stats.moment_helpers.corr2cov

statsmodels.stats.moment_helpers.corr2cov(corr, std)[source]

convert correlation matrix to covariance matrix given standard deviation

Parameters:

  • corr (array_like, 2d) – correlation matrix, see Notes

  • std (array_like, 1d) – standard deviation

Returns:

cov – covariance matrix

Return type:

ndarray (subclass)

Notes

This function does not convert subclasses of ndarrays. This requires that multiplication is defined elementwise. np.ma.array are allowed, but not matrices.