variance - covariance - how to calculate and its uses

One can find information on the covariance matrix on the Wikipedia website where there is much information about the mathematics involved. One can also find information on Mathworks.

Tony Lancaster has written:

'The covariance matrix of the information matrix test'

look in a maths dictionary

Briefly, the variance for a variable is a measure of the dispersion or spread of scores. Covariance indicates how two variables vary together.

The variance-covariance matrix is a compact way to present data for your variables. The variance is presented on the diagonal (where the column and row intersect for the same variable), while the covariances reside above or below the diagonal.