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.