Compute correlation matrix from covariance matrix using numpy

covariance_to_correlation.py

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

Thanks!

Thanks

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