Skip to content

Instantly share code, notes, and snippets.

@karakfa

karakfa/cov2corr.py

Created September 17, 2018 21:04
Show Gist options
  • Save karakfa/fbd48fe5251ff88e749bea02a0eaa92f to your computer and use it in GitHub Desktop.
Save karakfa/fbd48fe5251ff88e749bea02a0eaa92f to your computer and use it in GitHub Desktop.
Download ZIP
cov2corr
Raw
cov2corr.py
# extract correlation matrix from covariance matrix
def cov2corr(cov):
d = np.diagonal(cov)
s = np.reciprocal(np.sqrt(d))
return np.multiply(s,np.multiply(s,cov).T)
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment