Hello,
I have written a new function 'cov2corr()' to the financial package in Octave,
based on MatLab's financial toolbox manual. Basically cov2corr() convert
covariance to standard deviation and correlation coefficient. For example,
ExpCovariance = [0.25 -0.5
-0.5 4.0];
[ExpSigma, ExpCorrC] = cov2corr(ExpCovariance)
Expected results: ExpSigma =
0.5000 2.0000
ExpCorrC =
1.0000 -0.5000
-0.5000 1.0000
Wish for suggestions. Thanks a lot!
Best regards,
Hong Yu
## Copyright (C) 2011 Hong Yu
##
## This program is free software; you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 3 of the License, or (at
## your option) any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this program; see the file COPYING. If not, see
## <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {} cov2corr (@var{cov})
## Convert covariance input to output standard deviation and correlation
## coefficient.
##
##
## @seealso{corr2cov, corrcoef, cov, cov2corr, ewstats, std}
## @end deftypefn
## Author: Hong Yu <hyu0...@hotmail.com>
## Description: Convert covariance to standard deviation and correlation
## coefficients
function [sigma, corr] = cov2corr (cov)
if ( nargin != 1 )
print_usage ();
endif
csize = size(cov);
if ( csize(2) != csize(1) )
error("covariance: must be nxn");
endif
corr = cov;
sigma = 1:csize(2);
for i = 1 : csize(2)
sigma(i) = sqrt(cov(i,i));
corr(i,i) = 1.0;
for j = 1 : (i-1)
corr(j,i) /= (sigma(j) * sigma(i));
corr(i,j) = corr(j,i);
endfor
endfor
endfunction
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