Overview

covariance matrix


Show Summary Details

Quick Reference

For a vector of random variables X = [X1Xn], a matrix of variances of each component along the main diagonal and covariances between all pairs of components in non-diagonal elements. The covariance matrix is defined byE[(X-E(X)(X-E(X)T].

E[(X-E(X)(X-E(X)T].

Subjects: Economics.


Reference entries

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.