Covariance Matrix
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
.
See also
Correlation (Statistical)
,
Covariance
,
Variance
© 1996-9
Eric W. Weisstein
1999-05-25