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Results tagged with covariance-matrix
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user 337873
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.
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How can I better understand this covariance equation?
This is the equation given to me in the lectures:
$$S=\frac1N\sum_{n=1}^N(\mathbf{x}_n-\overline{\mathbf{x}})
(\mathbf{x}_n-\overline{\mathbf{x}})^T,$$
which doesn't make sense to me when I think abou …
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