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Matrix and estimation stuff


Hi, i have a few questions regarding some math and estimation stuff.

1)
Lets say i have 2 variables, the x, y coordinates of 2 points.
How am i going to compute the covariance matrix of the 2 points?

2) 
What exactly is a jacobian matrix about?
I understand how to derive a jacobian matrix from a given process
equation but i do not really understand the usage/purpose of it.

3)
If i got a nonlinear process, how do i linearise it? Has this got
anything to do with the jacobian matrix above?

rgds,
jax


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