% convert Covariance matrix into Standard deviation correlation matrix
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