skfolio.utils.stats.corr_to_cov#
- skfolio.utils.stats.corr_to_cov(corr, std)[source]#
Convert a correlation matrix to a covariance matrix given its standard-deviation vector.
- Parameters:
- corrndarray of shape (n, n)
Correlation matrix.
- stdndarray of shape (n, )
Standard-deviation vector.
- Returns:
- covndarray of shape (n, n)
Covariance matrix