corrcov

[C, sigma] = corrcov(cv) converts the covariance matrix cv into the correlation matrix C and returns the standard deviation vector sigma. C must be a square, symmetric and positive semi-definite matrix.

Examples

>> covar = [1,1,8.1; 1, 16, 18; 8.1, 18, 81]
[corrX,sigma] = corrcov(covar)

[covar:3x3 double]
[corrX:3x3 double]
[sigma:3x1 double]

>> corrX#

            1         0.25          0.9
         0.25            1          0.5
          0.9          0.5            1


>> sigma#

            1
            4
            9

See also

corrcov | median | var