A covariance matrix is a square matrix that contains the variances and covariances for several variables. The diagonal elements of the matrix contain the variances of the variables, and the off-diagonal elements contain the covariances between all possible pairs of variables.
The variance-covariance matrix is symmetric because the covariance between X and Y is the same as the covariance between Y and X. Therefore, the covariance for each pair of variables appears twice in the matrix: the covariance between the ith and jth variables is displayed at positions (i, j) and (j, i).
After you store the covariance matrices, choose
to view the covariance matrices in the Session window.
The variances are displayed in bold along the diagonal. The variance of X, Y, and Z are 2.0, 3.4, and 0.82 respectively. The covariance between X and Y is −0.86, the covariance between X and Z is −0.15, and the covariance between Y and Z is 0.48.