NT2COR2COV
Converts standard deviation vector and correlation matrix to covariance matrix
Syntax
NTCOR2COV(
stdev_vector,
correlation_matrix
)
Parameters
- Stdev vector is a 1-dim vector whose components are standard deviations of each variable.
- Correlation matrix is a correlation matrix.
Examples
- The example may be easier to understand if you copy it to a blank worksheet
How to copy an example
-
Create a blank workbook or worksheet.
-
Select the example in the Help topic.
Note Do not select the row or column headers.
Selecting an example from Help
-
Press CTRL+C.
-
In the worksheet, select cell A1, and press CTRL+V.
-
To switch between viewing the results and viewing the formulas that return the results, press CTRL+` (grave accent), or on the Tools menu, point to Formula Auditing, and then click Formula Auditing Mode.
| A | B | C | D | |
|---|---|---|---|---|
| 1 | Data | Data | Data | Description |
| 2 | 1.8 | 0.24 | 0.07 | stdev. vector |
| 3 | Data | Data | Data | Description |
| 4 | 1 | 0.62 | -0.48 | corr. matrix |
| 5 | 0.62 | 1 | 0.06 | corr. matrix |
| 6 | -0.48 | 0.06 | 1 | corr. matrix |
| 7 | Formula | Description (Result) | ||
| 8 | =NTCOR2COV(A2:C2,A4:C6) | Covariance matrix for the terms above |
Note The formula in the example must be entered as an array formula. After copying the example to a blank worksheet, select the range A8:C10 starting with the formula cell. Press F2, and then press CTRL+SHIFT+ENTER.