Пример #1
0
// 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])
		}
	}
}