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

See also

covcorr | median | var