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Covariance matrix

For a random vector

X

with finite second moments, its covariance matrix is

cov (X) = E [(X - E X) (X - E X)^{T}] .

It is positive semidefinite, and the variance of

a^{T} X

is

a^{T} cov (X) a

.

Table of contents 37 1
- Correlation coefficient Covariance matrix 8

 Ancestors (8)