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Computing a covariance matrix

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  • Subject: [mg73637] Computing a covariance matrix
  • From: eleutheroskaiwraios at
  • Date: Fri, 23 Feb 2007 04:44:04 -0500 (EST)

Hi all,

I was looking on how to compute a covariance matrix given a set of
measurements and I was utterly frustrated having to jump from one
discussion group to another and harvesting the web through maths
websites having to cope with all sorts of notations. I managed to find
a nice example on how to derive a covariance matrix and decided to
share it with you :)

Go to:

"How the stat packages compute a correlation matrix"

It should be quite easy to understand how it is done. It even shows
you how to standardise the matrix at the end.

I have to emphasize that I am not a math-whiz (however it is spelt), I
was looking on how to derive eigenvectors for an image processing/
mathcing application. I have another nice link somewhere about
calculating eigen matrices, will post that too.

NOTE: this is cross-posted at:


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