Suppose I have $n$ variables $X: X_1, X_2, ..., X_n$ that are independent from each other.
Which means that: if $i≠j$, then $\text{Cov}(X_i, X_j) = 0$
As a consequence, I'm wondering if their Covariance Matrix Sigma should be a diagonal matrix...
Someone to confirm this last point??
Thanks
PS: Covariance matrix sigma defined in Wikipedia: https://en.wikipedia.org/wiki/Covariance_matrix