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

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

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

module.exports = function (covariance) {
	checkCovariance({covariance});
	const variance = covariance.map((_, i) => covariance[i][i]);

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