Simple Example
With these definitions, we can now rewrite our
2×2
correlation/covariance matrix in terms of a moe general design/feature
matrix
X∈Rn×p. This leads to a
p×p
covariance matrix for the vectors
xi with
i=0,1,…,p−1
C[x]=[var[x0]cov[x0,x1]cov[x0,x2]……cov[x0,xp−1]cov[x1,x0]var[x1]cov[x1,x2]……cov[x1,xp−1]cov[x2,x0]cov[x2,x1]var[x2]……cov[x2,xp−1]………………………………cov[xp−1,x0]cov[xp−1,x1]cov[xp−1,x2]……var[xp−1]],