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wiso/covariance_to_correlation.py

Created March 20, 2018 08:33
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Revisions

  1. wiso revised this gist Mar 20, 2018. 1 changed file with 2 additions and 0 deletions.
    2 changes: 2 additions & 0 deletions covariance_to_correlation.py
    View file
    Original file line number Diff line number Diff line change
    @@ -1,3 +1,5 @@
    import numpy as np

    def correlation_from_covariance(covariance):
    v = np.sqrt(np.diag(covariance))
    outer_v = np.outer(v, v)
  2. wiso created this gist Mar 20, 2018.
    6 changes: 6 additions & 0 deletions covariance_to_correlation.py
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    Original file line number Diff line number Diff line change
    @@ -0,0 +1,6 @@
    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