A covariance matrix is used to measure the degree of correlation between two or more variables. It is calculated by taking the covariance of each variable with each other variable. The covariance matrix is a symmetric matrix, which means that the value in the i-th row and j-th column is the same as the value in the j-th row and i-th column. To calculate the covariance matrix, first calculate the covariance of each pair of variables, then organize the covariances into a matrix. The diagonal elements in the matrix are the variances of the individual variables, and the off-diagonal elements are the covariances between the variables.
This calculator creates a covariance matrix for up to five different variables.
Simply enter the data values for up to five variables into the boxes below, then press the “Calculate” button.
Variable 1
Variable 2
Variable 3
Variable 4
Variable 5
Covariance Matrix
| Var1 | Var2 | Var3 | Var4 | Var5 | |
|---|---|---|---|---|---|
| Var1 | 15.8333 | ||||
| Var2 | 17.7222 | 27.6111 | |||
| Var3 | 9.6667 | 12.6667 | 6.7111 | ||
| Var4 | |||||
| Var5 |