statsmodels.stats.moment_helpers.cov2corr

statsmodels.stats.moment_helpers.cov2corr(cov, return_std=False)

convert covariance matrix to correlation matrix

Parameters:

cov : array_like, 2d

covariance matrix, see Notes

Returns:

corr : ndarray (subclass)

correlation matrix

return_std : bool

If this is true then the standard deviation is also returned. By default only the correlation matrix is returned.

Notes

This function does not convert subclasses of ndarrays. This requires that division is defined elementwise. np.ma.array and np.matrix are allowed.