corr2cov

copulae.core.linalg.corr2cov(corr, std)

Convert correlation matrix to covariance matrix given standard deviation

Parameters

• corr ((N, N) array like) – Correlation matrix

• std ((1, N) array like) – Vector of standard deviation

Returns

(N, N) covariance matrix

Return type

ndarray

Utility Functions cov2corr