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bivariate Gaussian probability density function centered at (0, 0), with covariance matrix [ 1.00, 0.50 ; 0.50, 1.00 ]. ]]
In probability theory and statistics, a covariance matrix (also known as dispersion matrix or variance–covariance matrix) is a matrix whose element in the i, j position is the covariance between the i th and j th elements of a random vector (that is, of a vector of random variables). Each element of the vector is a scalar random variable, either with a finite number of observed empirical values or with a finite or infinite number of potential values specif...