Given 
sets of variates denoted 
, ..., 
, the first-order covariance matrix is defined by
 |
where 
is the mean. Higher order matrices are given by
 |
An individual matrix element 
is called the covariance
of 
and 
.
Covariance Matrix
See also
Covariance, Error Propagation, Statistical Correlation, VarianceExplore with Wolfram|Alpha
References
Snedecor, G. W. and Cochran, W. G. Statistical Methods, 7th ed. Ames, IA: Iowa State Press, p. 342, 1980.Referenced on Wolfram|Alpha
Covariance MatrixCite this as:
Weisstein, Eric W. "Covariance Matrix." From MathWorld--A Wolfram Web Resource. https://mathworld.wolfram.com/CovarianceMatrix.html