-/* Returns the correlation matrix corresponding to the covariance
-matrix COV. The return value must be freed with gsl_matrix_free
-when no longer required.
-*/
-static gsl_matrix *
-covariance_to_correlation (const gsl_matrix *cov)
-{
- size_t r, c;
- gsl_matrix *corr = gsl_matrix_alloc (cov->size1, cov->size2);
-
- for (r = 0 ; r < cov->size1; ++r)
- {
- for (c = 0 ; c < cov->size2 ; ++c)
- {
- double x = gsl_matrix_get (cov, r, c);
- x /= sqrt (gsl_matrix_get (cov, r, r)
- * gsl_matrix_get (cov, c, c) );
- gsl_matrix_set (corr, r, c, x);
- }
- }
-
- return corr;
-}