corr2cov

Convert standard deviation and correlation to covariance

Syntax

ExpCovariance = corr2cov(ExpSigma, ExpCorrC)

Arguments

ExpSigma

Vector of length n with the standard deviations of each process. n is the number of random processes.

ExpCorrC

(Optional) n-by-n correlation coefficient matrix. If ExpCorrC is not specified, the processes are assumed to be uncorrelated, and the identity matrix is used.

Description

corr2cov converts standard deviation and correlation to covariance.

ExpCovariance is an n-by-n covariance matrix, where n is the number of processes.

ExpCov(i,j) = ExpCorrC(i,j)*ExpSigma(i)*ExpSigma(j) 

Examples

expand all

Convert Standard Deviation and Correlation to Covariance

This example shows how to convert standard deviation and correlation to covariance.

ExpSigma = [0.5  2.0];

ExpCorrC = [1.0 -0.5
           -0.5  1.0];

ExpCovariance = corr2cov(ExpSigma, ExpCorrC)
ExpCovariance =

    0.2500   -0.5000
   -0.5000    4.0000

See Also

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