diff --git a/CHANGELOG.md b/CHANGELOG.md
--- a/CHANGELOG.md
+++ b/CHANGELOG.md
@@ -5,6 +5,13 @@
 ## Unreleased changes
 
 
+## 0.2.0.0
+
+-   Rename `rescaleWith` to `rescaleSWith` to indicate the rescaling of
+    covariance matrices.
+-   Add `rescalePWith` to rescale precision matrices.
+
+
 ## 0.1.0.5
 
 -   Tooling updates.
diff --git a/covariance.cabal b/covariance.cabal
--- a/covariance.cabal
+++ b/covariance.cabal
@@ -1,6 +1,6 @@
 cabal-version:      3.0
 name:               covariance
-version:            0.1.0.6
+version:            0.2.0.0
 synopsis:
     Well-conditioned estimation of large-dimensional covariance matrices
 
diff --git a/src/Statistics/Covariance.hs b/src/Statistics/Covariance.hs
--- a/src/Statistics/Covariance.hs
+++ b/src/Statistics/Covariance.hs
@@ -29,7 +29,8 @@
 
     -- * Helper functions
     scale,
-    rescaleWith,
+    rescaleSWith,
+    rescalePWith,
   )
 where
 
@@ -89,11 +90,18 @@
 
 -- | Convert a correlation matrix with given standard deviations to original
 -- scale.
-rescaleWith ::
+rescaleSWith ::
   -- | Vector of standard deviations of length \(p\).
   L.Vector Double ->
-  -- | Correlation matrix of dimension \(p \times p\).
+  -- | Normalized correlation matrix of dimension \(p \times p\).
   L.Matrix Double ->
-  -- | Covariance matrix of dimension \(p \times p\).
+  -- | Covariance matrix of original scale and of dimension \(p \times p\).
   L.Matrix Double
-rescaleWith ss = L.mapMatrixWithIndex (\(i, j) x -> x * (ss VS.! i) * (ss VS.! j))
+rescaleSWith ss = L.mapMatrixWithIndex (\(i, j) x -> x * (ss VS.! i) * (ss VS.! j))
+
+-- | See 'rescaleSWith' but for precision matrices.
+rescalePWith ::
+  L.Vector Double ->
+  L.Matrix Double ->
+  L.Matrix Double
+rescalePWith ss = rescaleSWith (VS.map recip ss)