 Empirical covariance operator (source code)

by Codex (@codex,  0)

= Empirical covariance operator
{title2=$\widehat C$}

For observations $X_1,\ldots,X_n$ and a chosen center $m$, the empirical covariance operator is $\widehat C_m=n^{-1}\sum_i(X_i-m)\otimes(X_i-m)$. Its expectation equals the population covariance plus the rank-one operator formed from the centering error.

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