covariance matrix
/K OW0 V EH1 R IY0 AH0 N S M EY0 T R IH0 K S/N
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In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector.
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