Covariance

From stats++ wiki
Jump to: navigation, search

Covariance Matrix

For a vector \(\mathbf{X}= \begin{bmatrix}X_1 & X_2 & \dots & X_m\end{bmatrix}^\mathrm{T} \) of m jointly distributed random variables with finite second moments, its covariance matrix is defined as

\[ \Sigma(\mathbf{X}) = \sigma(\mathbf{X},\mathbf{X}) .\]