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