## concept

provided

n-dimensional random variable

to

For example, a two-dimensional random variable

where

Since the

## properties

covariance matrix with the following properties:

(1)

(2).

(3)

## Applications

covariance matrix may be used to represent probability density multidimensional random variables, thus the study of multidimensional random variables can be achieved by the covariance matrix. A two-dimensional random variable

matrix incorporated

and

thus available

Since

Thus

this equation can be generalized to an n-dimensional normal distribution.