What does covariance mean?

A measure of how two uncertain quantities vary together. A covariance matrix holds each variable's variance on its diagonal and the covariances off it, and describes the uncertainty in position as a tilted ellipse rather than a circle.

Also written as: covariances, covariance matrix, covariance matrices

Learn it

• Taught in U6.5 Covariance and the ellipse State estimation, University

Used in

• U3.6 An error budget
• U4.4 Outliers
• U8.1 A map of cells

All glossary terms