statsmodels.stats.moment_helpers.corr2cov

statsmodels.stats.moment_helpers.corr2cov(corr, std)

convert correlation matrix to covariance matrix given standard deviation

Parameters

corrarray_like, 2d

correlation matrix, see Notes

stdarray_like, 1d

standard deviation

Returns

covndarray (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.