www.gusucode.com > mbcmodels 工具箱 matlab 源码程序 > mbcmodels/@xregcovariance/unstruct_cov2corr.m
function [w,s,c] = unstruct_cov2corr(c) % COVMODEL/UNSTRUCT_CORR scale unstructured covariance % Copyright 2000-2004 The MathWorks, Inc. and Ford Global Technologies, Inc. w= cov(c); nc= size(w,1); wc= triu( ones(nc) ) ; U= (wc~=0); wc(U)= c.cparam; % scaling factor is the norm of the columns sd= sqrt(sum(wc.^2)); % make a lower bound on the scaling sd(sd==0)=1; sdmax= max(sd)*sqrt(eps*nc); sd(sd<sdmax)=sdmax; s= diag(1./sd); wc= wc*s; w= wc'*wc; c.cparam= wc(U);