- #1

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I read from the above link that-

The sample covariance of N observations of K variables is the

**K-by-K**matrix.

I am wondering-

Should "K-by-K" be "N-by-K" or not?

- Thread starter DUET
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- #1

- 55

- 0

I read from the above link that-

The sample covariance of N observations of K variables is the

I am wondering-

Should "K-by-K" be "N-by-K" or not?

- #2

mathman

Science Advisor

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No. K-by-K is correct. Moreover it is symmetric. Each term in the matrix is the estimated covariance between two of the variables.

I read from the above link that-

The sample covariance of N observations of K variables is theK-by-Kmatrix.

I am wondering-

Should "K-by-K" be "N-by-K" or not?

- #3

- 55

- 0

Does it mean** covariance matrix** must be in square size, 3x3, 4x4, 5x5 etc?

It can never be 3x4, 4x7, 5x8 etc.

Correct?

It can never be 3x4, 4x7, 5x8 etc.

Correct?

Last edited:

- #4

chiro

Science Advisor

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- #5

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I think every value will repeat twice. Am I correct?you will have a lot of repeated values.

- #6

chiro

Science Advisor

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- #7

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Yes! I am just taking **off diagonal elements** into account.

Last edited:

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