Definition:Variance of Random Vector

Definition

Let $\mathbf X$ be a random vector.

The variance of $\mathbf X$ is defined by:

$\operatorname{var} \left({\mathbf X}\right) = \operatorname{cov} \left({\mathbf X, \mathbf X}\right)$

where $\operatorname{cov}$ is the cross-covariance matrix.