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Results tagged with covariance-matrix
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user 268541
A $k\times k$ matrix of covariances between all pairs of $k$ random variables. It is also called variance-covariance matrix or simply the covariance matrix.
3
votes
Is every covariance matrix positive definite?
As the other answers already make clear, a covariance matrix is not necessarily positive definite, but only positive semi-definite.
However, a covariance matrix is generally positive definite unless …
