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hey what's the formula for a covariance matrix if i have a given collation matrix and standard deviation vector? And in the other direction what is the formula for the correlation matrix if I have a given covariance matrix and the standard deviation vector?

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    $\begingroup$ Denote the $\{$covariance, std deviation, correlation$\}$ matrices by $\{C,V,R\}$ respectively, then $$\eqalign{ V &= {\rm Diag}(v) \\ R &= V^{-1}CV^{-1} \\ C &= VRV \\ }$$ $\endgroup$
    – greg
    Commented Apr 3, 2020 at 11:05
  • $\begingroup$ Thank youuuuuuu $\endgroup$
    – Mr.Price
    Commented Apr 3, 2020 at 17:43

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