stats.moment_helpers.corr2cov()

statsmodels.stats.moment_helpers.corr2cov

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.