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Can someone explain a variance-covariance matrix please?

  • 23-11-2009 1:25pm
    #1
    Benincasa
    Registered Users, Registered Users 2 Posts: 131 ✭✭


    I would be grateful if somebody could explain a variance-covariance matrix in SIMPLE non-mathematical language please?

    I have always had a problem understanding this. I have no problems understanding correlation and the correlation matrix. I just cannot get my head around the variance-covariance matrix (and the issue of covariance more generally). What I am looking for is an explanation of what it is and how it works perhaps with an example. I do not need a mathematical formula explaining how it works.

    I would also be grateful for any references or weblinks that explain the concept.


Comments

  • #2
    Thomas_S_Hunterson
    Closed Accounts Posts: 6,151 ✭✭✭Thomas_S_Hunterson


    Not trying to be smart here but:
    wikipedia wrote:
    In probability theory and statistics, covariance is a measure of how much two variables change together. (Variance is a special case of the covariance when the two variables are identical.)
    The variance covariance matrix for a vector of random variables [latex]X_1 \ldots X_n[/latex] is the matrix where the (i,j) entry is the covariance between [latex]X_i[/latex] and [latex]X_j[/latex].

    /edit: This video may help:
    https://www.youtube.com/watch?v=35NWFr53cgA


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