# Covariance

From stats++ wiki

## 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

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