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covariance matrix

a square matrix that represents how variance in each variable in a set is related to variance in all other variables in the set. The covariances between pairs of variables are located at the intersection of the row and column that correspond to the two variables. The quantities along the diagonal of the matrix are variances rather than covariances. Also called dispersion matrix; variance–covariance matrix.

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Psychology term of the day

November 22nd 2024