/usr/share/octave/packages/financial-0.4.0/corr2cov.m is in octave-financial 0.4.0-1.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 | ## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com>
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU General Public License as published by the Free Software
## Foundation; either version 3 of the License, or (at your option) any later
## version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public License along with
## this program; if not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {@var{cov} =} corr2cov (@var{sigma}, @var{corr})
## Convert standard deviation @var{sigma} and correlation coefficients @var{corr}
## to covariance @var{cov}.
##
## Note that the rate @var{r} is specified as a fraction (i.e., 0.05,
## not 5 percent).
## @seealso{corrcoef, cov, cov2corr, std}
## @end deftypefn
function ret = corr2cov (sigma, corr)
if ( nargin != 2 )
print_usage ();
elseif ( rows(corr) != columns(corr) || ndims(corr) != 2 )
error("correlation coefficients must be a NxN matrix");
elseif ( rows(sigma) != 1 || ndims(sigma) != 2 )
error("sigma must be a 1xN vector (single row) with the standard deviation values");
elseif ( columns(sigma) < columns(1) )
error("sigma: must be 1xN \ncorr: must be NxN");
endif
sigma = sigma(:);
ret = corr .* (sigma * sigma');
endfunction
%!demo
%! sigma = [ 0.5 2.0 ];
%! corr = [ 1.0 -0.5; -0.5 1.0 ];
%! cov = corr2cov( sigma, corr )
%! %--------------------------------------------------
%! % Input standard deviations and correlation matrix, output covariance
%! % matrix
%!test
%! sigma = [0.5 2.0];
%! corr = [1.0 -0.5; -0.5 1.0];
%! cov = corr2cov( sigma, corr );
%! assert( cov, [ 0.25 -0.5; -0.5 4.0 ] )
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