Reference Entry

covariance matrix

Edited by John Black, Nigar Hashimzade and Gareth Myles

in A Dictionary of Economics

Fourth edition

Published in print January 2012 | ISBN: 9780199696321
Published online May 2013 | e-ISBN: 9780191759130
covariance matrix

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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 by...

Reference Entry.  91 words.  Illustrated.

Subjects: Economics

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