// corrToCov converts a correlation matrix to a covariance matrix.
// The input sigma should be vector of standard deviations corresponding
// to the covariance. It will panic if len(sigma) is not equal to the
// number of rows in the correlation matrix.
func corrToCov(c *mat64.SymDense, sigma []float64) {
r, _ := c.Dims()
if r != len(sigma) {
panic(matrix.ErrShape)
}
for i, sx := range sigma {
// Ensure that the diagonal has exactly sigma squared.
c.SetSym(i, i, sx*sx)
for j := i + 1; j < r; j++ {
v := c.At(i, j)
c.SetSym(i, j, v*sx*sigma[j])
}
}
}