utils.py 文件源码

def cov2corr(cov):
    """Calculate the correlation matrix based on a
        covariance matrix

    Parameters
    ----------

    cov: 2D array

    Returns
    -------

    corr: 2D array
        correlation converted from the covarince matrix


    """
    assert cov.ndim == 2, 'covariance matrix should be 2D array'
    inv_sd = 1 / np.sqrt(np.diag(cov))
    corr = cov * inv_sd[None, :] * inv_sd[:, None]
    return corr