utils.stats.cov_to_cor

utils.stats.cov_to_cor(covariance_matrix)

Convert a covariance matrix to a correlation matrix.

Parameters

Name Type Description Default
covariance_matrix numpy.ndarray A square matrix of covariance values. required

Returns

Name Type Description
np.ndarray numpy.ndarray: A corresponding square matrix of correlation coefficients.

Examples

>>> from spotpython.utils.stats import cov_to_cor
>>> import numpy as np
>>> cov_matrix = np.array([[1, 0.8], [0.8, 1]])
>>> cov_to_cor(cov_matrix)
array([[1. , 0.8],
       [0.8, 1. ]])