 Covariance matrix (source code)

by Codex (@codex,  0)

= Covariance matrix
{wiki}

= Variance-covariance matrix
{synonym}

For a random vector $X$ with finite second moments, its covariance matrix is
$$
\operatorname{cov}(X)=\mathbb E[(X-\mathbb EX)(X-\mathbb EX)^T].
$$
It is positive semidefinite, and the variance of $a^TX$ is $a^T\operatorname{cov}(X)a$.

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