NTCOR2COV

Converts standard deviation vector and correlation matrix to covariance matrix

Syntax

Parameters

• Stdev vector is a 1-dim vecor 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
  
  1. Create a blank workbook or worksheet.
  2. Select the example in the Help topic.

     Note  Do not select the row or column headers.

     

     Selecting an example from Help

  3. Press CTRL+C.
  4. In the worksheet, select cell A1, and press CTRL+V.
  5. 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.

  1 2 3 4 5 6 7 8

  A B C D Data Data Data Description 1.8 0.24 0.07 stdev. vector Data Data Data Description 1 0.62 -0.48 corr. matrix 0.62 1 0.06 corr. matrix -0.48 0.06 1 corr. matrix Formula     Description (Result) =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.

• Download sample excel sheet

See also

• NTCOV2COR
• NTMULTICORREL
• NTMULTICOVARP
• Why I always see the same result even if I input formula into multiple cell?