Covariance Matrix

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A table showing covariances the between multiple variables.

The table is symmetric around the main diagonal (i.e., if you draw a line from the top-left corner to the bottom right corner, the numbers on one side of this line are the mirror of those on the other side. For this reason, sometimes only the portion of the covariance matrix above (or below) the main diagonal is shown.

The covariance matrix is computed as an input into many advanced statistical procedures.