statsmodels.stats.moment_helpers.corr2cov#
- statsmodels.stats.moment_helpers.corr2cov(corr, std)[source]#
Convert correlation matrix to covariance matrix given standard deviation
- Parameters:
- corrarray_like, 2d
Correlation matrix, see Notes.
- stdarray_like, 1d
Standard deviation.
- Returns:
- cov
ndarray(subclass) Covariance matrix.
- cov
Notes
This function does not convert subclasses of ndarrays. This requires that multiplication is defined elementwise. np.ma.array are allowed, but not matrices.