Given sets of variates denoted , ..., , the first-order covariance matrix is defined by
where is the mean. Higher order matrices are given by
An individual matrix element is called the covariance of and .
Given sets of variates denoted , ..., , the first-order covariance matrix is defined by
where is the mean. Higher order matrices are given by
An individual matrix element is called the covariance of and .
Weisstein, Eric W. "Covariance Matrix." From MathWorld--A Wolfram Web Resource. https://mathworld.wolfram.com/CovarianceMatrix.html