Category:Definitions/Covariance Matrices

This category contains definitions related to Covariance Matrices.
Related results can be found in Category:Covariance Matrices.

Let $\sequence a_n$ and $\sequence b_n$ be sequences of $n$ observations.

A covariance matrix $\mathbf C$ is a square matrix of order $n$ defined as:

$\sqbrk c_{i j} = \cov {x_i, y_i}$

where $\cov {x_i, y_i}$ denotes the covariance of $x_i$ and $y_j$.