Cross-covariance matrix ($C_{ab}=\mathrm{Cov}(\mathbf{a},\mathbf{b})$)

For real random vectors $\mathbf{a}\in {\mathbb{R}}^p$ and $\mathbf{b}\in {\mathbb{R}}^q$ with finite second moments, their cross-covariance matrix collects the covariances between the two sets of coordinates:It has size $p\times q$, and exchanging the two vectors transposes it: $C_{ba}=C_{ab}^T$. Unlike a covariance matrix of a vector with itself, a cross-covariance matrix need not be square or symmetric.

For an original construction, let centered independent random variables $X,Z$ have variances1and4, and putLinearity of covariance givesThe second entry contains a negative contribution from $Z$, although the total is positive. Also $\mathrm{Var}(b)=13$ andThis joint covariance matrix is positive semidefinite. That restriction couples its diagonal and off-diagonal blocks; an arbitrary rectangular matrix cannot be combined with arbitrary within-vector covariances to produce a valid joint model.

For fixed real matrices $A,B$ and constant vectors $c,d$, direct substitution into the definition givesThis identity propagates shared input fluctuations through two different linear readouts, for example when assessing shared calibration error.

From $n$ independent identically distributed paired observations, the usual unbiased estimate isThe pairing must be preserved: independently shuffling the second set changes the estimated association. NIST's multivariate tutorial gives the coordinate sample-covariance formula and its assembly into a covariance matrix; the rectangular formula above is the block joining the two chosen coordinate groups.^[ref]