Computing the covariance matrix from the correlation matrix and standard deviations

by Amir Shahmoradi — Last updated:

Problem

Recall the definition of correlation matrix as normalized covariance matrix. Write a function genCovMatFromCorMat(CorMat, StdVec = None) that computes the covariance matrix from an input correlation matrix and, optionally - if available, the input vector of standard deviations.

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Amir Shahmoradi

shahmoradi@utexas.edu

Genius is 99% perspiration and 1% inspiration

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