“variance–covariance matrix”的概念、定义、翻译、参考文献-科学参考

variance–covariance matrix

Statistics

A square symmetric matrix in which the elements on the main diagonal are variances and the remaining elements are covariances. Suppose X₁, X₂,…, X_p are random variables and the variance of X_j is and the covariance of X_j and X_k is c_jk=c_kj. Then the variance–covariance matrix is Σ, given by $variance–covariance matrix$ The same term is also used for the corresponding matrix based on sample values. If the matrix is diagonal then the variables display orthogonality.

Economics

单词	variance–covariance matrix
释义	variance–covariance matrix Statistics A square symmetric matrix in which the elements on the main diagonal are variances and the remaining elements are covariances. Suppose X₁, X₂,…, X_p are random variables and the variance of X_j is and the covariance of X_j and X_k is c_jk=c_kj. Then the variance–covariance matrix is Σ, given by $variance–covariance matrix$ The same term is also used for the corresponding matrix based on sample values. If the matrix is diagonal then the variables display orthogonality. Economics See covariance matrix.
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