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edson-github/covariance_to_correlation.py

Forked from wiso/covariance_to_correlation.py
Created May 1, 2022 14:57
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Compute correlation matrix from covariance matrix using numpy
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covariance_to_correlation.py
import numpy as np
def correlation_from_covariance(covariance):
v = np.sqrt(np.diag(covariance))
outer_v = np.outer(v, v)
correlation = covariance / outer_v
correlation[covariance == 0] = 0
return correlation
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