For two random variable vectors A and
B, the covariance is defined as
where N is the length of each column,
μA and
μB are the mean values of
A and B, respectively, and
*
denotes the complex conjugate.
The covariance matrix of two random variables is the matrix
of pairwise covariance calculations between each variable,
For a matrix X, in which each column is a
random variable composed of observations, the covariance matrix is the pairwise
covariance calculation between each column combination. In other words, .