---
tag: 0V7G6WMFK0
kind: concept
name: Covariance matrix
aliases: [variance-covariance-matrix, dispersion-matrix]
msc: [62H05]
sources:
  - url: https://en.wikipedia.org/wiki/Covariance_matrix
    locator: lead section
same_as:
  wikidata: Q1134404
  wikipedia: Covariance matrix
---

## Summary

The covariance matrix of a random vector is the square matrix of the covariances of all pairs of its components.
The node [[covariance matrix|02CBHV4ZZQ]] gives the precise definition.