/usr/share/octave/packages/financial-0.4.0/cov2corr.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 | ## 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{sigma}, @var{corr}] =} cov2corr (@var{cov})
## Convert covariance @var{cov} from input to standard deviation @var{sigma} and
## correlation coefficients @var{corr}.
##
## @seealso{corr2cov, corrcoef, cov, std}
## @end deftypefn
function [sigma, corr] = cov2corr (cov_m)
if ( nargin != 1 )
print_usage ();
elseif ( ndims (cov_m) != 2 || rows(cov_m) != columns(cov_m) )
error("covariances must be a NxN matrix");
endif
sigma = diag(cov_m);
if ( min(sigma) <= 0 )
error("covariance: must have all positive values along the diagonal")
endif
sigma = sqrt(sigma)';
corr = cov_m ./ ( sigma' * sigma );
endfunction
%!demo
%! cov = [ 0.25 -0.5; -0.5 4.0 ];
%! [ sigma, corr ] = cov2corr( cov )
%! %--------------------------------------------------
%! % Input covariance matrix, output standard deviations and correlation
%! % matrix
%!test
%! cov = [ 0.25 -0.5; -0.5 4.0 ];
%! [sigma, corr] = cov2corr( cov );
%! assert( sigma, [0.5 2.0] )
%! assert( corr, [1.0 -0.5; -0.5 1.0] );
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