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annotate m-toolbox/classes/+utils/@math/cov2corr.m @ 22:b11e88004fca database-connection-manager

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author Daniele Nicolodi <nicolodi@science.unitn.it>
date Mon, 05 Dec 2011 16:20:06 +0100
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1 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
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2 % COV2CORR
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Daniele Nicolodi <nicolodi@science.unitn.it>
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3 % Convert covariance to standard deviation and correlation coefficient
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4 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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5 % SigC is a 1-by-n vector with the standard deviation of each process.
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6 % CorrC is an n-by-n matrix of correlation coefficients.
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7 %
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8 % Algorithm
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9 %
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10 % SigC(i) = sqrt(Covar(i,i))
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11 % CorrC(i,j) = Covar(i,j)/(SigC(i)*SigC(j))
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12 %
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13 % L Ferraioli 10-10-2010
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14 %
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15 % $Id: cov2corr.m,v 1.1 2010/11/16 16:41:37 luigi Exp $
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16 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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18
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19 function [CorrC,SigC] = cov2corr(Covar)
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20
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21 CorrC = Covar;
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22 SigC = sqrt(diag(Covar));
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23 for tt=1:size(CorrC,1)
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24 for hh=1:size(CorrC,2)
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25 CorrC(tt,hh) = Covar(tt,hh)/(sqrt(Covar(tt,tt))*sqrt(Covar(hh,hh)));
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