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wiso/covariance_to_correlation.py

Created March 20, 2018 08:33
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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
@ostwalprasad
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Thanks man🙌

@jaronowitz
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Thank you!

@KaiKevinLiao
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Thanks!

@SINGAM5153
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Thanks

@JulianDPastrana
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Thanks

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