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# cov2corr

Convert covariance to standard deviation and correlation coefficient

## Syntax

```[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
```

## Arguments

 ExpCovariance n-by-n covariance matrix; for example, from cov or ewstats. n is the number of random processes.

## Description

[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance) converts covariance to standard deviations and correlation coefficients.

ExpSigma is a 1-by-n vector with the standard deviation of each process.

ExpCorrC is an n-by-n matrix of correlation coefficients.

```ExpSigma(i) = sqrt(ExpCovariance(i,i))
ExpCorrC(i,j) = ExpCovariance(i,j)/(ExpSigma(i)*ExpSigma(j))
```

## Examples

expand all

### Convert Covariance to Standard Deviations and Correlation Coefficients

This example shows how to convert a covariance matrix to standard deviations and correlation coefficients.

```ExpCovariance = [0.25 -0.5
-0.5   4.0];

[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
```
```ExpSigma =

0.5000    2.0000

ExpCorrC =

1.0000   -0.5000
-0.5000    1.0000

```