Howtosignalprocessing
Does the covariance have a unit of measure?
Unlike the correlation coefficient, covariance is measured in units. The units are computed by multiplying the units of the two variables. The variance can take any positive or negative values.
What is unit covariance matrix?
In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector.
Is covariance scaled?
Covariance is a measure of correlation, while correlation is a scaled version of covariance. This means correlation is a special case of covariance which can be achieved when the data is in standardized form.
