From 8eb60896161a514e0df6208ff20cd90a75cc8938 Mon Sep 17 00:00:00 2001
From: John Darrington <john@darrington.wattle.id.au>
Date: Thu, 4 May 2017 17:27:31 +0200
Subject: [PATCH] New function covariance_from_correlation

---
 src/math/correlation.c | 26 ++++++++++++++++++++++++++
 src/math/correlation.h |  4 +++-
 2 files changed, 29 insertions(+), 1 deletion(-)

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;
+}
diff --git a/src/math/correlation.h b/src/math/correlation.h
index 27621c47c9..5771f43e71 100644
--- a/src/math/correlation.h
+++ b/src/math/correlation.h
@@ -20,7 +20,9 @@
 
 #include <gsl/gsl_matrix.h>
 
-gsl_matrix * correlation_from_covariance (const gsl_matrix *cv, const gsl_matrix *v);
+gsl_matrix *correlation_from_covariance (const gsl_matrix *cv, const gsl_matrix *v);
+
+gsl_matrix *covariance_from_correlation (const gsl_matrix *corr, const gsl_matrix *v);
 
 double significance_of_correlation (double rho, double w);
 
-- 
2.30.2