copulae.core.linalg.
cov2corr
Convert covariance matrix to correlation matrix
This function does not convert subclasses of ndarrays. This requires that division is defined elementwise. np.ma.array and np.matrix are allowed.
cov (ndarray) – Covariance matrix
ndarray
return_std – If True then the standard deviation is also returned. By default only the correlation matrix is returned.
Union[ndarray, Tuple[ndarray, ndarray]]
Union
Tuple
corr ((N, N) ndarray) – Correlation matrix
std ((1, N) ndarray) – Standard deviation