covcorr
covcorr(C, sigma) converts the correlation matrix C into a covariance matrix, where sigma is a vector containing the standard deviation of each variable in C.
Examples
>> C = [1 0.25 0.9; 0.25 1 0.5; 0.9 0.5 1] sigma = [1 4 9] covcorr(C, sigma)# 1 1 8.1 1 16 18 8.1 18 81