skfolio.utils.stats.cov_to_corr

skfolio.utils.stats.cov_to_corr(cov)

Convert a covariance matrix to a correlation matrix.

Parameters:

covndarray of shape (n, n)

Covariance matrix.

Returns:

corr, stdtuple[ndarray of shape (n, n), ndarray of shape (n, )]

Correlation matrix and standard-deviation vector