# Covariance

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