PowerPoint Presentation

ESS210B

Prof. Jin-Yi Yu

Covariance Matrix – cont.

qThe covariance between two state variables Xi and Xj is:

q

q

q

qThe covariance matrix is as following:

Here N = 1188

X12

X1,M-1

X1M

X11

X13

•••••

X22

X2,M-1

X2,M

X21

X23

•••••

X32

X3,M-1

X3,M

X31

X33

•••••

XM-1,2

XM-1,M-1

XM-1,M

XM-1,1

XM-1,3

•••••

XM,2

XM,M-1

XM,M

XM,1

XM,3

•••••

Here M= 200