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Results tagged with covariance-matrix
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user 72770
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.
17
votes
Determine the off - diagonal elements of covariance matrix, given the diagonal elements
An intuitive method to determine this answer quickly is to just remember that covariance matrices may be interpreted in the form
\begin{equation}
A = \begin{pmatrix}
\sigma_1^2 & \rho_{12}\sigma_1\sig …
- 343