kalman-filter/lib/utils/correlation-to-covariance.js

Kalman filter (and Extended Kalman Filter) Multi-dimensional implementation in Javascript

const checkCovariance = require('./check-covariance');

module.exports = function ({correlation, variance}) {
	checkCovariance({covariance: correlation});
	return correlation.map((c, rowIndex) => c.map((a, colIndex) => a * Math.sqrt(variance[colIndex] * variance[rowIndex])));
};