--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/m-toolbox/classes/+utils/@math/corr2cov.m	Wed Nov 23 19:22:13 2011 +0100
@@ -0,0 +1,31 @@
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+% CORR2COV
+% Convert correlartion matrix to covariance matrix
+% 
+% SigC Vector of length n with the standard deviations of each process. n
+% is the number of random processes.
+% 
+% CorrC n-by-n correlation coefficient matrix. If ExpCorrC is not
+% specified, the processes are assumed to be uncorrelated, and the identity
+% matrix is used.
+% 
+% Algorithm
+% 
+% Covar(i,j) = CorrC(i,j)*(SigmC(i)*SigmC(j) 
+% 
+% L Ferraioli 10-10-2010
+%
+% $Id: corr2cov.m,v 1.1 2010/11/16 16:41:37 luigi Exp $
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+
+
+function Covar = corr2cov(CorrC,SigC)
+
+  Covar = CorrC;
+  
+  for tt=1:size(CorrC,1)
+    for hh=1:size(CorrC,2)
+      Covar(tt,hh) = CorrC(tt,hh)*SigC(tt)*SigC(hh);
+    end
+  end
+end
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