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Math Help - Sample Covariance of Matrix

  1. #1
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    Sample Covariance of Matrix

    Dear all,
    I have a m,n matrix and I would like to find the sample covariance of it !
    I know in theory what covariance is but unfortunately I can not generalize it for a matrix.

    Do you have some references that will help me further understand?

    I would like to thank you in advance for your help

    Best Regards
    Alex
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  2. #2
    Master Of Puppets
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    Hi Alex, if you can calculate the covariance between to variables the hard work is done.

    For your m by n matrix the covariance matrix will be a symmtrical n by n matrix where each element is the a covariance between of of the variables.

    Assuming your variables are in columns as x1, x2, x3, ... xn, then the first element in the covariance matrix S will be s_{11} which is the covariance between x1 and x1, then s_{12} is the covariance between x1 and x2 and so on.

    How does that sound?
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