statsmodels.stats.moment_helpers.corr2cov¶
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statsmodels.stats.moment_helpers.
corr2cov
(corr, std)[source]¶ convert correlation matrix to covariance matrix given standard deviation
Parameters: corr : array_like, 2d
correlation matrix, see Notes
std : array_like, 1d
standard deviation
Returns: cov : ndarray (subclass)
covariance matrix
Notes
This function does not convert subclasses of ndarrays. This requires that multiplication is defined elementwise. np.ma.array are allowed, but not matrices.