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I know how to find covariance of 2 vectors and variance too. If covariance matrix is to be found of 3 vectors x,y and z, then then the cov matrix is given by

cov_matrix(x,y,z) =[var(x) cov(x,y) cov(x,z); cov(x,y) var(y) cov(y,z); cov(x,z) cov(y,z) var(z) ];

Is this equation right? In matlab I believe we first have to define a 3 row matrix 'A' to consider 3 vectors at once finding covariance matrix. Then command cov(A) gives the cov matrix. But I doubt whether this result matches with the above equation.

-Devanand T

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# MATLAB How to find covariance matrix of 3 or more vectors in matlab?

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