Changing correlation matrix into covariane matrix Matlab
up vote
1
down vote
favorite
I'm trying to change a correlation matrix into co-variance matrix...
Importing some data, I found the co-variance (sigma_a)
sigma_a = (sigma_d + (mu_d'+1)*(mu_d+1)).^N - (mu_d'+1).^N *(mu_d+1).^N;
Which returns...
0.1211 0.0231 0.0422 0.0278 0.0411 0.0354 0.0289 0.0366 0.0343 0.0165
0.0231 0.0788 0.0283 0.0242 0.0199 0.0248 0.0219 0.0199 0.0253 0.0140
0.0422 0.0283 0.1282 0.0339 0.0432 0.0366 0.0321 0.0399 0.0420 0.0216
0.0278 0.0242 0.0339 0.0554 0.0261 0.0294 0.0312 0.0269 0.0297 0.0164
0.0411 0.0199 0.0432 0.0261 0.0849 0.0289 0.0271 0.0371 0.0317 0.0173
0.0354 0.0248 0.0366 0.0294 0.0289 0.0728 0.0293 0.0400 0.0339 0.0149
0.0289 0.0219 0.0321 0.0312 0.0271 0.0293 0.0454 0.0276 0.0309 0.0135
0.0366 0.0199 0.0399 0.0269 0.0371 0.0400 0.0276 0.0726 0.0356 0.0162
0.0343 0.0253 0.0420 0.0297 0.0317 0.0339 0.0309 0.0356 0.0715 0.0198
0.0165 0.0140 0.0216 0.0164 0.0173 0.0149 0.0135 0.0162 0.0198 0.0927
Then I found the correlation matrix (rho)
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
Which returns...
1.0000 0.2365 0.3388 0.3396 0.4050 0.3772 0.3897 0.3899 0.3686 0.1556
0.2365 1.0000 0.2812 0.3656 0.2437 0.3274 0.3658 0.2631 0.3377 0.1638
0.3388 0.2812 1.0000 0.4027 0.4141 0.3792 0.4199 0.4133 0.4382 0.1985
0.3396 0.3656 0.4027 1.0000 0.3809 0.4638 0.6221 0.4246 0.4728 0.2295
0.4050 0.2437 0.4141 0.3809 1.0000 0.3681 0.4366 0.4732 0.4068 0.1948
0.3772 0.3274 0.3792 0.4638 0.3681 1.0000 0.5093 0.5499 0.4707 0.1813
0.3897 0.3658 0.4199 0.6221 0.4366 0.5093 1.0000 0.4797 0.5428 0.2079
0.3899 0.2631 0.4133 0.4246 0.4732 0.5499 0.4797 1.0000 0.4936 0.1971
0.3686 0.3377 0.4382 0.4728 0.4068 0.4707 0.5428 0.4936 1.0000 0.2435
0.1556 0.1638 0.1985 0.2295 0.1948 0.1813 0.2079 0.1971 0.2435 1.0000
I know there is the function corrcov() in matlab that finds the correlation matrix... So I tried,
corrcov(sigma_a)
I compared the results and both corrcov(sigma_a) and rho produced the same correlation matrix.
However then I wanted to change all of the pairwise correlations by exactly +0.1. Which I did, with
rho_u = (rho + .1) - .1*eye(10);
And I got the following correlation matrix...
1.0000 0.3365 0.4388 0.4396 0.5050 0.4772 0.4897 0.4899 0.4686 0.2556
0.3365 1.0000 0.3812 0.4656 0.3437 0.4274 0.4658 0.3631 0.4377 0.2638
0.4388 0.3812 1.0000 0.5027 0.5141 0.4792 0.5199 0.5133 0.5382 0.2985
0.4396 0.4656 0.5027 1.0000 0.4809 0.5638 0.7221 0.5246 0.5728 0.3295
0.5050 0.3437 0.5141 0.4809 1.0000 0.4681 0.5366 0.5732 0.5068 0.2948
0.4772 0.4274 0.4792 0.5638 0.4681 1.0000 0.6093 0.6499 0.5707 0.2813
0.4897 0.4658 0.5199 0.7221 0.5366 0.6093 1.0000 0.5797 0.6428 0.3079
0.4899 0.3631 0.5133 0.5246 0.5732 0.6499 0.5797 1.0000 0.5936 0.2971
0.4686 0.4377 0.5382 0.5728 0.5068 0.5707 0.6428 0.5936 1.0000 0.3435
0.2556 0.2638 0.2985 0.3295 0.2948 0.2813 0.3079 0.2971 0.3435 1.0000
However, when I attempt to take the adjusted correlation matrix and make it a co-variance matrix the cov() is not producing the right matrix. I tried...
b = cov(rho_u);
Why is that? Is there another way to do that? Or is there a way to adjust what I did with
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
so that it does the opposite (rho found the correlation matrix) to get the co-varience matrix instead?
Based on my understanding from the answer below, then the co-variance matrix for rho_u would be achieved by, doing...
sigma = sqrt(var(rho_u));
D = diag(sigma);
sigma_u = D*rho_u*D
Is this what was meant? I was little confused by which variables I should take the variance to. I thought that meant rho_u?
matlab correlation covariance
add a comment |
up vote
1
down vote
favorite
I'm trying to change a correlation matrix into co-variance matrix...
Importing some data, I found the co-variance (sigma_a)
sigma_a = (sigma_d + (mu_d'+1)*(mu_d+1)).^N - (mu_d'+1).^N *(mu_d+1).^N;
Which returns...
0.1211 0.0231 0.0422 0.0278 0.0411 0.0354 0.0289 0.0366 0.0343 0.0165
0.0231 0.0788 0.0283 0.0242 0.0199 0.0248 0.0219 0.0199 0.0253 0.0140
0.0422 0.0283 0.1282 0.0339 0.0432 0.0366 0.0321 0.0399 0.0420 0.0216
0.0278 0.0242 0.0339 0.0554 0.0261 0.0294 0.0312 0.0269 0.0297 0.0164
0.0411 0.0199 0.0432 0.0261 0.0849 0.0289 0.0271 0.0371 0.0317 0.0173
0.0354 0.0248 0.0366 0.0294 0.0289 0.0728 0.0293 0.0400 0.0339 0.0149
0.0289 0.0219 0.0321 0.0312 0.0271 0.0293 0.0454 0.0276 0.0309 0.0135
0.0366 0.0199 0.0399 0.0269 0.0371 0.0400 0.0276 0.0726 0.0356 0.0162
0.0343 0.0253 0.0420 0.0297 0.0317 0.0339 0.0309 0.0356 0.0715 0.0198
0.0165 0.0140 0.0216 0.0164 0.0173 0.0149 0.0135 0.0162 0.0198 0.0927
Then I found the correlation matrix (rho)
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
Which returns...
1.0000 0.2365 0.3388 0.3396 0.4050 0.3772 0.3897 0.3899 0.3686 0.1556
0.2365 1.0000 0.2812 0.3656 0.2437 0.3274 0.3658 0.2631 0.3377 0.1638
0.3388 0.2812 1.0000 0.4027 0.4141 0.3792 0.4199 0.4133 0.4382 0.1985
0.3396 0.3656 0.4027 1.0000 0.3809 0.4638 0.6221 0.4246 0.4728 0.2295
0.4050 0.2437 0.4141 0.3809 1.0000 0.3681 0.4366 0.4732 0.4068 0.1948
0.3772 0.3274 0.3792 0.4638 0.3681 1.0000 0.5093 0.5499 0.4707 0.1813
0.3897 0.3658 0.4199 0.6221 0.4366 0.5093 1.0000 0.4797 0.5428 0.2079
0.3899 0.2631 0.4133 0.4246 0.4732 0.5499 0.4797 1.0000 0.4936 0.1971
0.3686 0.3377 0.4382 0.4728 0.4068 0.4707 0.5428 0.4936 1.0000 0.2435
0.1556 0.1638 0.1985 0.2295 0.1948 0.1813 0.2079 0.1971 0.2435 1.0000
I know there is the function corrcov() in matlab that finds the correlation matrix... So I tried,
corrcov(sigma_a)
I compared the results and both corrcov(sigma_a) and rho produced the same correlation matrix.
However then I wanted to change all of the pairwise correlations by exactly +0.1. Which I did, with
rho_u = (rho + .1) - .1*eye(10);
And I got the following correlation matrix...
1.0000 0.3365 0.4388 0.4396 0.5050 0.4772 0.4897 0.4899 0.4686 0.2556
0.3365 1.0000 0.3812 0.4656 0.3437 0.4274 0.4658 0.3631 0.4377 0.2638
0.4388 0.3812 1.0000 0.5027 0.5141 0.4792 0.5199 0.5133 0.5382 0.2985
0.4396 0.4656 0.5027 1.0000 0.4809 0.5638 0.7221 0.5246 0.5728 0.3295
0.5050 0.3437 0.5141 0.4809 1.0000 0.4681 0.5366 0.5732 0.5068 0.2948
0.4772 0.4274 0.4792 0.5638 0.4681 1.0000 0.6093 0.6499 0.5707 0.2813
0.4897 0.4658 0.5199 0.7221 0.5366 0.6093 1.0000 0.5797 0.6428 0.3079
0.4899 0.3631 0.5133 0.5246 0.5732 0.6499 0.5797 1.0000 0.5936 0.2971
0.4686 0.4377 0.5382 0.5728 0.5068 0.5707 0.6428 0.5936 1.0000 0.3435
0.2556 0.2638 0.2985 0.3295 0.2948 0.2813 0.3079 0.2971 0.3435 1.0000
However, when I attempt to take the adjusted correlation matrix and make it a co-variance matrix the cov() is not producing the right matrix. I tried...
b = cov(rho_u);
Why is that? Is there another way to do that? Or is there a way to adjust what I did with
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
so that it does the opposite (rho found the correlation matrix) to get the co-varience matrix instead?
Based on my understanding from the answer below, then the co-variance matrix for rho_u would be achieved by, doing...
sigma = sqrt(var(rho_u));
D = diag(sigma);
sigma_u = D*rho_u*D
Is this what was meant? I was little confused by which variables I should take the variance to. I thought that meant rho_u?
matlab correlation covariance
3
Consider marking the answers as accepted that solve your previous problems in your previous questions by clicking✔
on the left of the answers. You can also upvote all the helpful answers by clicking▲
on the left of the answers. This awards the volunteers the reward that they deserve and helps the future visitors to identify the usefulness of the answers. If those answers don't solve your problem, please comment under the answers to explain the problem/s to let the answerers know about that. Thanks
– Sardar Usama
Nov 7 at 7:35
add a comment |
up vote
1
down vote
favorite
up vote
1
down vote
favorite
I'm trying to change a correlation matrix into co-variance matrix...
Importing some data, I found the co-variance (sigma_a)
sigma_a = (sigma_d + (mu_d'+1)*(mu_d+1)).^N - (mu_d'+1).^N *(mu_d+1).^N;
Which returns...
0.1211 0.0231 0.0422 0.0278 0.0411 0.0354 0.0289 0.0366 0.0343 0.0165
0.0231 0.0788 0.0283 0.0242 0.0199 0.0248 0.0219 0.0199 0.0253 0.0140
0.0422 0.0283 0.1282 0.0339 0.0432 0.0366 0.0321 0.0399 0.0420 0.0216
0.0278 0.0242 0.0339 0.0554 0.0261 0.0294 0.0312 0.0269 0.0297 0.0164
0.0411 0.0199 0.0432 0.0261 0.0849 0.0289 0.0271 0.0371 0.0317 0.0173
0.0354 0.0248 0.0366 0.0294 0.0289 0.0728 0.0293 0.0400 0.0339 0.0149
0.0289 0.0219 0.0321 0.0312 0.0271 0.0293 0.0454 0.0276 0.0309 0.0135
0.0366 0.0199 0.0399 0.0269 0.0371 0.0400 0.0276 0.0726 0.0356 0.0162
0.0343 0.0253 0.0420 0.0297 0.0317 0.0339 0.0309 0.0356 0.0715 0.0198
0.0165 0.0140 0.0216 0.0164 0.0173 0.0149 0.0135 0.0162 0.0198 0.0927
Then I found the correlation matrix (rho)
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
Which returns...
1.0000 0.2365 0.3388 0.3396 0.4050 0.3772 0.3897 0.3899 0.3686 0.1556
0.2365 1.0000 0.2812 0.3656 0.2437 0.3274 0.3658 0.2631 0.3377 0.1638
0.3388 0.2812 1.0000 0.4027 0.4141 0.3792 0.4199 0.4133 0.4382 0.1985
0.3396 0.3656 0.4027 1.0000 0.3809 0.4638 0.6221 0.4246 0.4728 0.2295
0.4050 0.2437 0.4141 0.3809 1.0000 0.3681 0.4366 0.4732 0.4068 0.1948
0.3772 0.3274 0.3792 0.4638 0.3681 1.0000 0.5093 0.5499 0.4707 0.1813
0.3897 0.3658 0.4199 0.6221 0.4366 0.5093 1.0000 0.4797 0.5428 0.2079
0.3899 0.2631 0.4133 0.4246 0.4732 0.5499 0.4797 1.0000 0.4936 0.1971
0.3686 0.3377 0.4382 0.4728 0.4068 0.4707 0.5428 0.4936 1.0000 0.2435
0.1556 0.1638 0.1985 0.2295 0.1948 0.1813 0.2079 0.1971 0.2435 1.0000
I know there is the function corrcov() in matlab that finds the correlation matrix... So I tried,
corrcov(sigma_a)
I compared the results and both corrcov(sigma_a) and rho produced the same correlation matrix.
However then I wanted to change all of the pairwise correlations by exactly +0.1. Which I did, with
rho_u = (rho + .1) - .1*eye(10);
And I got the following correlation matrix...
1.0000 0.3365 0.4388 0.4396 0.5050 0.4772 0.4897 0.4899 0.4686 0.2556
0.3365 1.0000 0.3812 0.4656 0.3437 0.4274 0.4658 0.3631 0.4377 0.2638
0.4388 0.3812 1.0000 0.5027 0.5141 0.4792 0.5199 0.5133 0.5382 0.2985
0.4396 0.4656 0.5027 1.0000 0.4809 0.5638 0.7221 0.5246 0.5728 0.3295
0.5050 0.3437 0.5141 0.4809 1.0000 0.4681 0.5366 0.5732 0.5068 0.2948
0.4772 0.4274 0.4792 0.5638 0.4681 1.0000 0.6093 0.6499 0.5707 0.2813
0.4897 0.4658 0.5199 0.7221 0.5366 0.6093 1.0000 0.5797 0.6428 0.3079
0.4899 0.3631 0.5133 0.5246 0.5732 0.6499 0.5797 1.0000 0.5936 0.2971
0.4686 0.4377 0.5382 0.5728 0.5068 0.5707 0.6428 0.5936 1.0000 0.3435
0.2556 0.2638 0.2985 0.3295 0.2948 0.2813 0.3079 0.2971 0.3435 1.0000
However, when I attempt to take the adjusted correlation matrix and make it a co-variance matrix the cov() is not producing the right matrix. I tried...
b = cov(rho_u);
Why is that? Is there another way to do that? Or is there a way to adjust what I did with
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
so that it does the opposite (rho found the correlation matrix) to get the co-varience matrix instead?
Based on my understanding from the answer below, then the co-variance matrix for rho_u would be achieved by, doing...
sigma = sqrt(var(rho_u));
D = diag(sigma);
sigma_u = D*rho_u*D
Is this what was meant? I was little confused by which variables I should take the variance to. I thought that meant rho_u?
matlab correlation covariance
I'm trying to change a correlation matrix into co-variance matrix...
Importing some data, I found the co-variance (sigma_a)
sigma_a = (sigma_d + (mu_d'+1)*(mu_d+1)).^N - (mu_d'+1).^N *(mu_d+1).^N;
Which returns...
0.1211 0.0231 0.0422 0.0278 0.0411 0.0354 0.0289 0.0366 0.0343 0.0165
0.0231 0.0788 0.0283 0.0242 0.0199 0.0248 0.0219 0.0199 0.0253 0.0140
0.0422 0.0283 0.1282 0.0339 0.0432 0.0366 0.0321 0.0399 0.0420 0.0216
0.0278 0.0242 0.0339 0.0554 0.0261 0.0294 0.0312 0.0269 0.0297 0.0164
0.0411 0.0199 0.0432 0.0261 0.0849 0.0289 0.0271 0.0371 0.0317 0.0173
0.0354 0.0248 0.0366 0.0294 0.0289 0.0728 0.0293 0.0400 0.0339 0.0149
0.0289 0.0219 0.0321 0.0312 0.0271 0.0293 0.0454 0.0276 0.0309 0.0135
0.0366 0.0199 0.0399 0.0269 0.0371 0.0400 0.0276 0.0726 0.0356 0.0162
0.0343 0.0253 0.0420 0.0297 0.0317 0.0339 0.0309 0.0356 0.0715 0.0198
0.0165 0.0140 0.0216 0.0164 0.0173 0.0149 0.0135 0.0162 0.0198 0.0927
Then I found the correlation matrix (rho)
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
Which returns...
1.0000 0.2365 0.3388 0.3396 0.4050 0.3772 0.3897 0.3899 0.3686 0.1556
0.2365 1.0000 0.2812 0.3656 0.2437 0.3274 0.3658 0.2631 0.3377 0.1638
0.3388 0.2812 1.0000 0.4027 0.4141 0.3792 0.4199 0.4133 0.4382 0.1985
0.3396 0.3656 0.4027 1.0000 0.3809 0.4638 0.6221 0.4246 0.4728 0.2295
0.4050 0.2437 0.4141 0.3809 1.0000 0.3681 0.4366 0.4732 0.4068 0.1948
0.3772 0.3274 0.3792 0.4638 0.3681 1.0000 0.5093 0.5499 0.4707 0.1813
0.3897 0.3658 0.4199 0.6221 0.4366 0.5093 1.0000 0.4797 0.5428 0.2079
0.3899 0.2631 0.4133 0.4246 0.4732 0.5499 0.4797 1.0000 0.4936 0.1971
0.3686 0.3377 0.4382 0.4728 0.4068 0.4707 0.5428 0.4936 1.0000 0.2435
0.1556 0.1638 0.1985 0.2295 0.1948 0.1813 0.2079 0.1971 0.2435 1.0000
I know there is the function corrcov() in matlab that finds the correlation matrix... So I tried,
corrcov(sigma_a)
I compared the results and both corrcov(sigma_a) and rho produced the same correlation matrix.
However then I wanted to change all of the pairwise correlations by exactly +0.1. Which I did, with
rho_u = (rho + .1) - .1*eye(10);
And I got the following correlation matrix...
1.0000 0.3365 0.4388 0.4396 0.5050 0.4772 0.4897 0.4899 0.4686 0.2556
0.3365 1.0000 0.3812 0.4656 0.3437 0.4274 0.4658 0.3631 0.4377 0.2638
0.4388 0.3812 1.0000 0.5027 0.5141 0.4792 0.5199 0.5133 0.5382 0.2985
0.4396 0.4656 0.5027 1.0000 0.4809 0.5638 0.7221 0.5246 0.5728 0.3295
0.5050 0.3437 0.5141 0.4809 1.0000 0.4681 0.5366 0.5732 0.5068 0.2948
0.4772 0.4274 0.4792 0.5638 0.4681 1.0000 0.6093 0.6499 0.5707 0.2813
0.4897 0.4658 0.5199 0.7221 0.5366 0.6093 1.0000 0.5797 0.6428 0.3079
0.4899 0.3631 0.5133 0.5246 0.5732 0.6499 0.5797 1.0000 0.5936 0.2971
0.4686 0.4377 0.5382 0.5728 0.5068 0.5707 0.6428 0.5936 1.0000 0.3435
0.2556 0.2638 0.2985 0.3295 0.2948 0.2813 0.3079 0.2971 0.3435 1.0000
However, when I attempt to take the adjusted correlation matrix and make it a co-variance matrix the cov() is not producing the right matrix. I tried...
b = cov(rho_u);
Why is that? Is there another way to do that? Or is there a way to adjust what I did with
rho = inv(sqrt(diag(diag(sigma_a))))*sigma_a*inv(sqrt(diag(diag(sigma_a))));
so that it does the opposite (rho found the correlation matrix) to get the co-varience matrix instead?
Based on my understanding from the answer below, then the co-variance matrix for rho_u would be achieved by, doing...
sigma = sqrt(var(rho_u));
D = diag(sigma);
sigma_u = D*rho_u*D
Is this what was meant? I was little confused by which variables I should take the variance to. I thought that meant rho_u?
matlab correlation covariance
matlab correlation covariance
edited Nov 7 at 8:45
asked Nov 7 at 7:21
user6259845
1364
1364
3
Consider marking the answers as accepted that solve your previous problems in your previous questions by clicking✔
on the left of the answers. You can also upvote all the helpful answers by clicking▲
on the left of the answers. This awards the volunteers the reward that they deserve and helps the future visitors to identify the usefulness of the answers. If those answers don't solve your problem, please comment under the answers to explain the problem/s to let the answerers know about that. Thanks
– Sardar Usama
Nov 7 at 7:35
add a comment |
3
Consider marking the answers as accepted that solve your previous problems in your previous questions by clicking✔
on the left of the answers. You can also upvote all the helpful answers by clicking▲
on the left of the answers. This awards the volunteers the reward that they deserve and helps the future visitors to identify the usefulness of the answers. If those answers don't solve your problem, please comment under the answers to explain the problem/s to let the answerers know about that. Thanks
– Sardar Usama
Nov 7 at 7:35
3
3
Consider marking the answers as accepted that solve your previous problems in your previous questions by clicking
✔
on the left of the answers. You can also upvote all the helpful answers by clicking ▲
on the left of the answers. This awards the volunteers the reward that they deserve and helps the future visitors to identify the usefulness of the answers. If those answers don't solve your problem, please comment under the answers to explain the problem/s to let the answerers know about that. Thanks– Sardar Usama
Nov 7 at 7:35
Consider marking the answers as accepted that solve your previous problems in your previous questions by clicking
✔
on the left of the answers. You can also upvote all the helpful answers by clicking ▲
on the left of the answers. This awards the volunteers the reward that they deserve and helps the future visitors to identify the usefulness of the answers. If those answers don't solve your problem, please comment under the answers to explain the problem/s to let the answerers know about that. Thanks– Sardar Usama
Nov 7 at 7:35
add a comment |
1 Answer
1
active
oldest
votes
up vote
2
down vote
The MATLAB function cov
is not defined to transform a correlation matrix to covariance matrix, as its documentation says
cov(X), if X is a vector, returns the variance. For matrices, where
each row is an observation, and each column a variable, cov(X) is the
covariance matrix.
So simply feeding the correlation matrix to cov()
won't work. What you need to calculate the covariance matrix is the variance of your variables (which you can calculate from your data, but didn't post here)
So in your example using the 10x10
correlation matrix rho
you posted and using some random numbers for the the standard deviations
sigma = rand(size(rho(:,1)));
D = diag(sigma); % Make the sigmas appear on the diagonal of an 10x10 matrix
(you have to insert the calculated values from your input data, of course). You can then calculate the covariance matrix by
S = D*rho*D
add a comment |
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
2
down vote
The MATLAB function cov
is not defined to transform a correlation matrix to covariance matrix, as its documentation says
cov(X), if X is a vector, returns the variance. For matrices, where
each row is an observation, and each column a variable, cov(X) is the
covariance matrix.
So simply feeding the correlation matrix to cov()
won't work. What you need to calculate the covariance matrix is the variance of your variables (which you can calculate from your data, but didn't post here)
So in your example using the 10x10
correlation matrix rho
you posted and using some random numbers for the the standard deviations
sigma = rand(size(rho(:,1)));
D = diag(sigma); % Make the sigmas appear on the diagonal of an 10x10 matrix
(you have to insert the calculated values from your input data, of course). You can then calculate the covariance matrix by
S = D*rho*D
add a comment |
up vote
2
down vote
The MATLAB function cov
is not defined to transform a correlation matrix to covariance matrix, as its documentation says
cov(X), if X is a vector, returns the variance. For matrices, where
each row is an observation, and each column a variable, cov(X) is the
covariance matrix.
So simply feeding the correlation matrix to cov()
won't work. What you need to calculate the covariance matrix is the variance of your variables (which you can calculate from your data, but didn't post here)
So in your example using the 10x10
correlation matrix rho
you posted and using some random numbers for the the standard deviations
sigma = rand(size(rho(:,1)));
D = diag(sigma); % Make the sigmas appear on the diagonal of an 10x10 matrix
(you have to insert the calculated values from your input data, of course). You can then calculate the covariance matrix by
S = D*rho*D
add a comment |
up vote
2
down vote
up vote
2
down vote
The MATLAB function cov
is not defined to transform a correlation matrix to covariance matrix, as its documentation says
cov(X), if X is a vector, returns the variance. For matrices, where
each row is an observation, and each column a variable, cov(X) is the
covariance matrix.
So simply feeding the correlation matrix to cov()
won't work. What you need to calculate the covariance matrix is the variance of your variables (which you can calculate from your data, but didn't post here)
So in your example using the 10x10
correlation matrix rho
you posted and using some random numbers for the the standard deviations
sigma = rand(size(rho(:,1)));
D = diag(sigma); % Make the sigmas appear on the diagonal of an 10x10 matrix
(you have to insert the calculated values from your input data, of course). You can then calculate the covariance matrix by
S = D*rho*D
The MATLAB function cov
is not defined to transform a correlation matrix to covariance matrix, as its documentation says
cov(X), if X is a vector, returns the variance. For matrices, where
each row is an observation, and each column a variable, cov(X) is the
covariance matrix.
So simply feeding the correlation matrix to cov()
won't work. What you need to calculate the covariance matrix is the variance of your variables (which you can calculate from your data, but didn't post here)
So in your example using the 10x10
correlation matrix rho
you posted and using some random numbers for the the standard deviations
sigma = rand(size(rho(:,1)));
D = diag(sigma); % Make the sigmas appear on the diagonal of an 10x10 matrix
(you have to insert the calculated values from your input data, of course). You can then calculate the covariance matrix by
S = D*rho*D
answered Nov 7 at 7:51
gehbiszumeis
846218
846218
add a comment |
add a comment |
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstackoverflow.com%2fquestions%2f53185040%2fchanging-correlation-matrix-into-covariane-matrix-matlab%23new-answer', 'question_page');
}
);
Post as a guest
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
3
Consider marking the answers as accepted that solve your previous problems in your previous questions by clicking
✔
on the left of the answers. You can also upvote all the helpful answers by clicking▲
on the left of the answers. This awards the volunteers the reward that they deserve and helps the future visitors to identify the usefulness of the answers. If those answers don't solve your problem, please comment under the answers to explain the problem/s to let the answerers know about that. Thanks– Sardar Usama
Nov 7 at 7:35