Covariance Matrix Calculator

Covariance: A measure of the relationship between two variables.
Matrix: An array of numbers arranged in rows and columns.

Use this tool to compute the covariance matrix from your data. Perfect for statisticians and data analysts who need quick and reliable calculations.

Calculator

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All calculations are based on rigorous statistical formulas provided by trusted data sources. Learn more about covariance matrices.

The covariance between two random variables X and Y is calculated as:

\[ \text{cov}(X, Y) = \frac{\sum{(X_i - \bar{X})(Y_i - \bar{Y})}}{N - 1} \]

A covariance matrix is a square matrix giving the covariance between each pair of elements of a given random vector.

Tool developed by Ugo Candido. Content reviewed by the Statology Expert Team. Last reviewed for accuracy on: October 2023.

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