statsmodels.stats.moment_helpers.cov2corr¶
-
statsmodels.stats.moment_helpers.cov2corr(cov, return_std=False)[source]¶ convert covariance matrix to correlation matrix
- Parameters
- covarray_like, 2d
covariance matrix, see Notes
- Returns
- corrndarray (subclass)
correlation matrix
- return_stdbool
If this is true then the standard deviation is also returned. By default only the correlation matrix is returned.
Notes
This function does not convert subclasses of ndarrays. This requires that division is defined elementwise. np.ma.array and np.matrix are allowed.