--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/m-toolbox/classes/+utils/@math/cov2corr.m	Wed Nov 23 19:22:13 2011 +0100
@@ -0,0 +1,28 @@
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+% COV2CORR
+% Convert covariance to standard deviation and correlation coefficient
+% 
+% SigC is a 1-by-n vector with the standard deviation of each process.
+% CorrC is an n-by-n matrix of correlation coefficients.
+% 
+% Algorithm
+% 
+% SigC(i) = sqrt(Covar(i,i))
+% CorrC(i,j) = Covar(i,j)/(SigC(i)*SigC(j))
+% 
+% L Ferraioli 10-10-2010
+%
+% $Id: cov2corr.m,v 1.1 2010/11/16 16:41:37 luigi Exp $
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+
+
+function [CorrC,SigC] = cov2corr(Covar)
+
+  CorrC = Covar;
+  SigC = sqrt(diag(Covar));
+  for tt=1:size(CorrC,1)
+    for hh=1:size(CorrC,2)
+      CorrC(tt,hh) = Covar(tt,hh)/(sqrt(Covar(tt,tt))*sqrt(Covar(hh,hh)));
+    end
+  end
+end
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