Julian Aronowitz jaronowitz
wiso
/ covariance_to_correlation.py
Created
March 20, 2018 08:33
Compute correlation matrix from covariance matrix using numpy
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| import numpy as np | |
| def correlation_from_covariance(covariance): | |
| v = np.sqrt(np.diag(covariance)) | |
| outer_v = np.outer(v, v) | |
| correlation = covariance / outer_v | |
| correlation[covariance == 0] = 0 | |
| return correlation |