Thread: 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

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?