Convert correlation matrix to covariance matrix

Converts a correlation matrix to a covariance matrix using standard deviations.

Usage

cor2cov(cor, sd)

Arguments

cor

A correlation matrix.

sd

A vector of standard deviations corresponding to the variables in the correlation matrix.

Value

A covariance matrix.

Details

Uses matrix multiplication to convert a correlation matrix to a covariance matrix.

Author

Michael Neely