How can I calculate the covariance matrix of a vector?

Babak Ahmadzadeh-Shooshtari @Babak_Ahmadzadeh-Shooshtari

09 September 2015 1 5K Report

Vector is n*1 and its covariance matrix is n*n.

If your vector is y n*1, then the covariance matrix is

R = E{y*y^{H}}, where E{.} is the mathematical expectation, and ()^{H} is the Hermitian transpose. Therefore, note that the trace of R corresponds to the scalar product of y.

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