spey.helper_functions.correlation_to_covariance

spey.helper_functions.correlation_to_covariance(correlation_matrix: ndarray, standard_deviations: ndarray) → ndarray

Convert correlation matrix into covariance matrix

Parameters:

• correlation_matrix (np.ndarray) – a real NxN matrix

• standard_deviations (np.ndarray) – a real N-dimensional vector representing standard deviations.

Returns:

Covariance matrix

Return type:

np.ndarray