For a two-dimensional positive-definite covariance matrix , the centered covariance ellipse is the image of the unit circle under its positive definite square root of a matrix. Equivalently, it satisfies . Its semi-major and semi-minor axes have lengths given by the square roots of the larger and smaller eigenvalues, along the corresponding eigenvectors. The ellipse encodes a second-moment geometry; a probability-coverage interpretation needs additional information about the probability distribution and the chosen scale.
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