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分散共分散行列
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Wikipedia definition
1. Covariance matrix​In probability theory and statistics, a covariance matrix (also known as dispersion matrix or variance covariance matrix) is a matrix whose element in the i, j position is the covariance between the i  and j  elements of a random vector. Each element of the vector is a scalar random variable, either with a finite number of observed empirical values or with a finite or infinite number of potential values specified by a theoretical joint probability distribution of all the random variables.
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