Use of Covariance Matrix Sample Clauses

Use of Covariance Matrix. The covariance matrix used can be created such that the off diagonal values are zero. This, therefore, assumed no correlation with the X and Y­axis. Although this is often untrue, it makes the creation of the covariance matrix inverse mathematically simple. In this case, the diagonal (trace) values of the covariance matrix are created such that: Cx= 1 ∑ X −Μx  X −Μx T N (6.3) Where N is the number of points in the data set, X is a point in the data set and Mx is the mean of the data set. This makes the inversion of the matrix trivial, as: Cx−1= 1