Matlab - Converting Covariance- into Correlation Matrix

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Converting Covariance- into Correlation Matrix

philipp

2005-05-31, 4:03 am

Is there a function in Matlab that converts
Covariance matrices in Correlation matrices?
thanks
Philipp

Roger Stafford

2005-05-31, 4:03 am

In article <ef078c5.-1@webx.raydaftYaTP>, philipp
<pilleditsch@mays.tamu.edu> wrote:

> Is there a function in Matlab that converts
> Covariance matrices in Correlation matrices?
> thanks
> Philipp
------
Hello Philipp,

I don't know of any function in the general matlab repertoire that does
it, but you can compute it yourself in two lines. Let C be the covariance
matrix and R the correlation matrix. Then

t = diag(1./sqrt(diag(C)));
R = t*C*t;

should get it.

(Remove "xyzzy" and ".invalid" to send me email.)
Roger Stafford

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