NTCOV2COR
Converts covariance matrix to standard deviation vector and correlation matrix
Syntax
NTCOV2COR(
covariance_matrix,
calc_stdev_vector
)
Parameters
- Covariance matrix is a covariance matrix.
- Calc stdev vector is a logical value that determines standard deviations of each variables are computed or not.
Example
- 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
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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 | 0.9 | 2.1 | -0.65 | cov. matrix |
| 3 | 2.1 | 0.59 | 1.2 | cov. matrix |
| 4 | -0.65 | 1.2 | 1.1 | cov. matrix |
| 5 | Formula | Description (Result) | ||
| 6 | =NTCOV2COR(A2:C4,FALSE) | Correlation matrix for the terms above (3 x 3 array) |
Note The formula in the example must be entered as an array formula. After copying the example to a blank worksheet, select the range A6:C8 starting with the formula cell. Press F2, and then press CTRL+SHIFT+ENTER.
Example2. standard deviation vector and correlation matrix
| A | B | C | D | |
|---|---|---|---|---|
| 1 | Data | Data | Data | Description |
| 2 | 0.9 | 2.1 | -0.65 | cov. matrix |
| 3 | 2.1 | 0.59 | 1.2 | cov. matrix |
| 4 | -0.65 | 1.2 | 1.1 | cov. matrix |
| 5 | Formula | Description (Result) | ||
| 6 | =NTCOV2COR(A2:C4,TRUE) | Standard deviation vector (A6:C6) and correlation matrix (A7:C9) 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 A6:C9 starting with the formula cell. Press F2, and then press CTRL+SHIFT+ENTER.