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Covariance

Meanings and phrases

covariance

Pronunciation American British Australian Indian
n.
  1. (statistics) the mean value of the product of the deviations of two variates from their respective means

covariance matrix

Pronunciation American British Australian Indian
E.g.
  • The covariance matrix encodes the mutual variance of several random variables.
  • Each axis on a PCA plot is an eigenvector of the covariance matrix of shape variables.
  • If the number of clusters is low the estimated covariance matrix can be downward biased.
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