6.6.1.2.1. statsmodels.sandbox.panel.correlation_structures.corr2cov

statsmodels.sandbox.panel.correlation_structures.corr2cov(corr, std)

convert correlation matrix to covariance matrix

Parameters:

corr : ndarray, (k_vars, k_vars)

correlation matrix

std : ndarray, (k_vars,) or scalar

standard deviation for the vector of random variables. If scalar, then it is assumed that all variables have the same scale given by std.