view m-toolbox/classes/+utils/@math/cov2corr.m @ 0:f0afece42f48
Import.
author
Daniele Nicolodi <nicolodi@science.unitn.it>
date
Wed, 23 Nov 2011 19:22:13 +0100 (2011-11-23)
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children
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+ − %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+ − % 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