# Convariance matrix

1. Aug 4, 2013

### DUET

My question is what is the the meaning of the T(as a power) in the following line?

That just means the transpose. That line is a concise way of generating the matrix you see above it. Each cell is $E[(X_i - μ_i)(X_j - μ_j)]$ where i,j are the row,column indices of each matrix cell. The multiplication with the transpose matches i and j in just the right way.