Home > Matching_SYM_LSM > src > Functions > Statistics > covariance_2_sigma_rho.m

covariance_2_sigma_rho

PURPOSE ^

% convert Covariance matrix into Standard deviation correlation matrix

SYNOPSIS ^

function S_rho=covariance_2_sigma_rho(C)

DESCRIPTION ^

% convert Covariance matrix into Standard deviation correlation matrix

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

0001 %% convert Covariance matrix into Standard deviation correlation matrix
0002 
0003 function S_rho=covariance_2_sigma_rho(C)
0004 
0005 n=size(C,1);
0006 display(['sigma_average: ',num2str(sqrt(trace(C)/n))]);
0007 sigma_average=sqrt(trace(C)/n);
0008 for i=1:n
0009     S_rho(i,i)=sqrt(C(i,i))/sigma_average;
0010     for j=1:n
0011         if i ~= j
0012             S_rho(i,j)=C(i,j)/sqrt(C(i,i)*C(j,j));
0013         end
0014     end
0015 end
0016 S_rho;
0017 return

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