X-Git-Url: https://pintos-os.org/cgi-bin/gitweb.cgi?a=blobdiff_plain;f=src%2Fmath%2Fcorrelation.c;h=bac81e4349360ef902a7e99b63768c0cafed42af;hb=bc5c6c1953ada1737620e27e6a968392a38d8c8f;hp=f5bba52379fb0d686e833ce7a87e04991de8c2c2;hpb=6e097c89af440da90b43ce90864394c4d0c843d5;p=pspp

diff --git a/src/math/correlation.c b/src/math/correlation.c
index f5bba52379..bac81e4349 100644
--- a/src/math/correlation.c
+++ b/src/math/correlation.c
@@ -16,6 +16,7 @@
 
 #include <config.h>
 
+#include <assert.h>
 #include "math/correlation.h"
 
 #include <gsl/gsl_matrix.h>
@@ -68,3 +69,28 @@ correlation_from_covariance (const gsl_matrix *cv, const gsl_matrix *v)
 
   return corr;
 }
+
+gsl_matrix *
+covariance_from_correlation (const gsl_matrix *corr, const gsl_matrix *v)
+{
+  size_t i, j;
+  assert (corr->size1 == corr->size2);
+
+  gsl_matrix *output = gsl_matrix_calloc (corr->size1, corr->size2);
+
+  for (i = 0 ; i < corr->size1; ++i)
+    {
+      for (j = 0 ; j < corr->size2; ++j)
+	{
+	  double r = gsl_matrix_get (corr, i, j);
+
+	  r *= sqrt (gsl_matrix_get (v, i, j))
+	    *
+	    sqrt (gsl_matrix_get (v, j, i));
+
+	  gsl_matrix_set (output, i, j, r);
+	}
+    }
+
+  return output;
+}