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# corrcov

Convert covariance matrix to correlation matrix

## Syntax

R = corrcov(C)
[R,sigma] = corrcov(C)

## Description

R = corrcov(C) computes the correlation matrix R corresponding to the covariance matrix C. C must be square, symmetric, and positive semi-definite.

[R,sigma] = corrcov(C) also computes the vector of standard deviations sigma.

## Examples

Use cov and corrcoef to compute covariances and correlations, respectively, for sample data on weight and blood pressure (systolic, diastolic) in hospital.mat:

```load hospital
X = [hospital.Weight hospital.BloodPressure];
C = cov(X)
C =
706.0404   27.7879   41.0202
27.7879   45.0622   23.8194
41.0202   23.8194   48.0590
R = corrcoef(X)
R =
1.0000    0.1558    0.2227
0.1558    1.0000    0.5118
0.2227    0.5118    1.0000```

Compare R with the correlation matrix computed from C by corrcov:

```corrcov(C)
ans =
1.0000    0.1558    0.2227
0.1558    1.0000    0.5118
0.2227    0.5118    1.0000```