From: Paige Miller Subject: Re: covariance matrix Date: Wed, 05 Jan 2000 10:24:21 -0500 Newsgroups: sci.stat.math,sci.math.num-analysis,fj.comp.statistics,gov.us.topic.statistic.reports Summary: What is a covariance matrix? Cedric wrote: > > Could somebody explain to me, what is a covariance matrix? A covariance matrix exists when you have 2 or more variables, and you want to see how they co-vary. Thus, if you have p variables, you could compute a pxp (symmetric) covariance matrix. (In the trivial case when you have 1 variable, the ordinary covariance is a 1x1 covariance matrix...) In a covariance matrix, the numbers on the diagonal are the variance of each variable. The numbers off the diagonal indicate the covariance of the two variables indicated by the position in the covariance matrix. The larger the absolute value of the covariance, the greater the covariation of the two variables. A covariance of zero indicates no covariance. -- Paige Miller Eastman Kodak Company paige.miller@kodak.com "It's nothing until I call it!" -- Bill Klem, NL Umpire