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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 : ndarray (subclass)

covariance matrix

Notes

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

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