AI engineering glossary · Linear algebra
What is covariance matrix?
Covariance matrix: A square symmetric table in which entry (i, j) is the covariance between feature i and feature j, and diagonal entries are the variances. Its eigenvectors point along the directions of greatest spread in the data.
Covariance matrix: an example
For heights and weights of 200 students, the 2 x 2 covariance matrix shows each variance on the diagonal and how they vary together off it.
Related terms
More Linear algebra terms
Where you learn it
Covariance matrix is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.