a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving...

calculating covariance Analysis of covariance Autocovariance Covariance function Covariance matrix Covariance operator Distance covariance, or Brownian...

variance-covariance matrix (or simply covariance matrix) showing also the relationship between each pair of variables. This would be a 3×3 matrix when 3...

probability theory and statistics, a cross-covariance matrix is a matrix whose element in the i, j position is the covariance between the i-th element of a random...

Covariance matrix adaptation evolution strategy (CMA-ES) is a particular kind of strategy for numerical optimization. Evolution strategies (ES) are stochastic...

statistics, sometimes the covariance matrix of a multivariate random variable is not known but has to be estimated. Estimation of covariance matrices then deals...

variable. Then the variances and covariances can be placed in a covariance matrix, in which the (i, j) element is the covariance between the i th random variable...

{\displaystyle 1\leq j\leq k} . The inverse of the covariance matrix is called the precision matrix, denoted by Q = Σ − 1 {\displaystyle {\boldsymbol {Q}}={\boldsymbol...

of the data's covariance matrix. Thus, the principal components are often computed by eigendecomposition of the data covariance matrix or singular value...

(e_{t}e_{t}')=\Omega \,} . The contemporaneous covariance matrix of error terms is a k × k positive-semidefinite matrix denoted Ω. E ( e t e t − k ′ ) = 0 {\displaystyle...