![Converting between correlation and covariance matrices](https://blogs.sas.com/content/iml/files/2017/01/ProgrammingTips-2.png)
Both covariance matrices and correlation matrices are used frequently in multivariate statistics. You can easily compute covariance and correlation matrices from data by using SAS software. However, sometimes you are given a covariance matrix, but your numerical technique requires a correlation matrix. Other times you are given a correlation matrix,