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单词 covariance matrix
释义
covariance matrix

Mathematics
  • See hypothesis testing.


Statistics
  • Alternative name for variance-covariance matrix.


Economics
  • For a vector of random variables X = [X1Xn], a matrix of variances of each component along the main diagonal and covariances between all pairs of components in non-diagonal elements. The covariance matrix is defined by

    Σ=E[(XE(X))(XE(X))T]

    so that

    Σii=Var(Xi)andΣij=Cov(Xi,Xj).


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