Howtosignalprocessing
How do you interpret cross covariance?
If cov(X, Y) is positive, then larger values of X are associated with larger values of Y and smaller values of X are associated with smaller values of Y. If the covariance is negative, the opposite holds: small Xs are associated with larger Ys and vice versa.
Is Sigma a covariance?
Σ is the covariance matrix of variables.
What is cross variance?
Cross-variance is a variance concept between two samples, where it is defined by using the second sample average to compute the first sample variance and reversely. In this paper we introduce a cross-variance, a new statistical test, and a new probability statistics distribution based on the cross-variance concept.
