corrcov — Convert a covariance matrix to a correlation matrix.
corrcov(C) returns the correlation matrix corresponding to the square covariance matrix C. [R,sigma] = corrcov(C) also returns the standard deviations from sqrt(diag(C)) as an n-by-1 vector.
Syntax
R = corrcov(C)
[R, sigma] = corrcov(C)Inputs
| Name | Type | Required | Default | Description |
|---|---|---|---|---|
C | Any | Yes | — | Square covariance matrix. |
Returns
| Name | Type | Description |
|---|---|---|
R | NumericArray | Correlation matrix corresponding to the covariance matrix. |
sigma | NumericArray | Column vector of standard deviations computed from diag(C). |
Returned values from corrcov depend on how many outputs the caller requests.
Errors
| Identifier | When | Message |
|---|---|---|
RunMat:corrcov:InvalidArgument | Input is nonnumeric, complex, not single/double precision, non-square, has negative variances, violates covariance bounds, or too many arguments/outputs are supplied. | covariance conversion: invalid argument |
RunMat:corrcov:Internal | Internal tensor allocation fails. | covariance conversion: internal error |
How corrcov works
Cmust be a real numeric square matrix stored as double or single precision. Scalar numeric values are accepted as 1-by-1 covariance matrices.- The diagonal entries of
Care interpreted as variances and must be nonnegative. - RunMat validates symmetry within floating-point tolerance before converting.
- RunMat rejects covariance entries whose magnitude exceeds the variance-implied pairwise bound
sqrt(C(i,i)*C(j,j)). - Entries involving a zero-variance variable produce
NaNbecause the correlation denominator is zero. - Logical inputs are promoted to double precision.
- Real gpuArray inputs stay resident when the active provider implements covariance-to-correlation conversion.
Example
Convert covariance to correlation
C = [4 2; 2 9];
[R,sigma] = corrcov(C)Expected output:
R = [1 0.3333; 0.3333 1]
sigma = [2; 3]Using corrcov with coding agents
Open a RunMat example with live inputs, then ask the agent to explain how corrcov changes the result.
Run a small corrcov example, explain the result, then change one input and compare the output.
FAQ
What does the second output contain?⌄
sigma is an n-by-1 vector of standard deviations computed from the square root of the covariance matrix diagonal.
How are constant variables handled?⌄
A zero diagonal entry means the corresponding variable has zero variance. Correlations involving that variable return NaN, matching the undefined zero-denominator calculation.
Related Stats functions
Summary
binocdf · boxplot · cdf · cdfplot · chi2cdf · corr · corrcoef · cov · cov2corr · dummyvar · ecdf · filloutliers · fitdist · geomean · grpstats · harmmean · icdf · isoutlier · kstest · kurtosis · lsline · mad · mode · nanmax · normalize · normcdf · norminv · normpdf · onehotdecode · onehotencode · pdf · prctile · quantile · refline · rmse · skewness · tabulate · tcdf · tiedrank · tinv · tpdf · ttest2 · wblinv
Ml
bayesopt · classify · confusionmat · crossvalind · cvpartition · fitclinear · fitctree · fitlm · kmeans · knnsearch · lasso · lassoglm · linkage · lscov · mnrfit · optimizableVariable · pdist · pdist2 · perfcurve · predict · regress · ridge · squareform · test · training · tsne
Random
binornd · bootstrp · datasample · dividerand · exprnd · gamrnd · lhsdesign · mvnrnd · normrnd · random · randsample · rng · trnd · unidrnd · unifrnd · wblrnd
Hist
Open-source implementation
Unlike proprietary runtimes, every RunMat function is open-source. Read exactly how corrcov is executed, line by line, in Rust.
- View the source for corrcov in Rust on GitHub
- Learn how the RunMat runtime works
- Found a bug? Open an issue with a minimal reproduction.
About RunMat
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