f90: Convert correlation and covariance matrices to each other. *.exe and *.out are the Windows and Linux executables.

corr_cov.exe

corr_cov.f90

PROGRAM corr_cov

IMPLICIT NONE

! Declarations

 CHARACTER(20):: infile_var, infile_corr, infile_cov, outfile_cov, outfile_corr, exiit
INTEGER:: i, j, n, question, err10, err11, err13
REAL,DIMENSION(:),ALLOCATABLE:: var
REAL,DIMENSION(:,:),ALLOCATABLE:: corr, cov

! Opening prints

PRINT*,
PRINT*,
PRINT*, 'This program is written by Mohammad A. Nilforooshan.'
PRINT*, 'All rights reserved.'
PRINT*, 'http://sites.google.com/site/mannprofile/'

! Ask for the operation to do

PRINT*,
PRINT*,
PRINT*, 'Press 1 if you want to convert correlations to covariances.'
PRINT*, 'Press 2 if you want to convert covariances to correlations.'
PRINT*, 'Press another number to exit.'
READ*, question

IF (question/=1 .AND. question/=2) THEN
    STOP
ELSE IF (question==1) THEN

    ! Converting correlations to covariances
    ! Ask for the input files, open and check them

    PRINT*,
    PRINT*,
    PRINT*, 'Type the name of the input file for the correlation matrix.'
    READ*, infile_corr
    OPEN(UNIT=10, FILE=infile_corr, STATUS='OLD', IOSTAT=err10)

    IF (err10/=0) THEN
        PRINT*,
        PRINT*,
        PRINT*, 'Error reading file ',infile_corr
        STOP
    END IF

    PRINT*,
    PRINT*,
    PRINT*, 'Type the name of the input file for the variance vector.'
    READ*, infile_var
    OPEN(UNIT=11, FILE=infile_var,  STATUS='OLD', IOSTAT=err11)

    IF (err11/=0) THEN
        PRINT*,
        PRINT*,
        PRINT*, 'Error reading file ',infile_var
        STOP
    END IF

    ! Ask for the name of the output file

    PRINT*,
    PRINT*,
    PRINT*, 'Type the name of the output file for the covariance matrix.'
    READ*, outfile_cov
    OPEN(UNIT=12, FILE=outfile_cov, STATUS='UNKNOWN')

    ! Ask the size of the correlation matrix

    PRINT*,
    PRINT*,
    PRINT*, 'Number of columns in the correlation matrix?'
    READ*, n

    IF (n>40) THEN
        PRINT*,
        PRINT*,
        PRINT*, 'Sorry, up to 40 columns is supprted!'
        PRINT*, 'Contact programmer to get space for more columns.'
        STOP
    END IF

    ALLOCATE(corr(n,n))
    READ(10,*) ((corr(i,j),j=1,n),i=1,n)

    ! Read the variance array

    ALLOCATE(var(n))
    READ(11,*) (var(i),i=1,n)
    var(j)=var(i)

    ! Calculate the covariance matrix

    ALLOCATE(cov(n,n))
    DO i=1,n
        DO j=1,n
            cov(i,j)=corr(i,j)*SQRT(var(i)*var(j))
        END DO
    END DO

    ! Write in the output file

    DO i=1,n
        WRITE(12,'(40F12.4)') (cov(i,j), j=1,n)
    END DO

ELSE

    ! Converting covariances to correlations
    ! Ask for the input file, open and check it

    PRINT*,
    PRINT*,
    PRINT*, 'Type the name of the input file for the covariance matrix.'
    READ*, infile_cov
    OPEN(UNIT=13, FILE=infile_cov, STATUS='OLD', IOSTAT=err13)

    IF (err13/=0) THEN
        PRINT*,
        PRINT*,
        PRINT*, 'Error reading file ',infile_cov
        STOP
    END IF

    ! Ask for the name of the output file

    PRINT*,
    PRINT*,
    PRINT*, 'Type the name of the output file for the correlation matrix.'
    READ*, outfile_corr
    OPEN(UNIT=14, FILE=outfile_corr, STATUS='UNKNOWN')

    ! Ask the size of the covariance matrix

    PRINT*,
    PRINT*,
    PRINT*, 'Number of columns in the covariance matrix?'
    READ*, n

    IF (n>40) THEN
        PRINT*,
        PRINT*,
        PRINT*, 'Sorry, up to 40 columns is supprted!'
        PRINT*, 'Contact programmer to get space for more columns.'
        STOP
    END IF

    ALLOCATE(cov(n,n))
    READ(13,*) ((cov(i,j),j=1,n),i=1,n)

    ! Calculate the correlation matrix

    ALLOCATE(corr(n,n))
    DO i=1,n
        DO j=1,n
            corr(i,j)=cov(i,j)/SQRT(cov(i,i)*cov(j,j))
        END DO
    END DO

    ! Write in the output file

    DO i=1,n
        WRITE(14,'(40F9.4)') (corr(i,j), j=1,n)
    END DO


END IF

! Finished

PRINT*,
PRINT*,
PRINT*, 'Press any key to exit.'
READ*, exiit

IF (exiit=='a') THEN
GO TO 182
END IF

182 END PROGRAM corr_cov

corr_cov.out