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Is there known relationship between eigenvalues of covariance matrix and correlation matrix?

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Khanh
Khanh 2011-11-16
I've tried to google but didn't find anything talking about it. My intention is that if I have found the eigenvalues of the covariance matrix and need to make some transformation so that the covariance matrix become the correlation matrix and I don't want to recalculate the eigenvalues; is there anyway to know the eigenvalues of the correlation matrix from the eigenvalues I have known?
Thanks,

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Andrew Newell
Andrew Newell 2011-11-17
The documentation for corrcoef describes the relationship between the matrices. That might imply a relationship between eigenvalues; I'll see if I can come up with it.

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