This aim of this article is to explain covariance matrices. We start from a very simple illustration (a normally uncorrelated distributed random sample) to more advanced ones (normally and correlated distribution). We finally explain how to extract usefull information from the covariance.

For a better understanding of the covariance matrix, we’ll first consider some simple examples. Let’s assume a gaussian distribution of random points in \( \mathbb{R}^2 \) with a standard deviation of 1 along each axis and the probability associated as illustrated on the following figure:

Figure a. |
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As \(x\) and \(y\) are independant (or uncorrelated), the covariance matrix is diagonal and more precisely an identity matrix due to the standard deviations equal to 1 ( \( _a\sigma_x = {_{a}\sigma_y} = 1 \) ) in the following equation:

$$ \Sigma_a= \begin{bmatrix} _a\sigma_x^2 && 0\\ 0 && _a\sigma_y^2 \end{bmatrix} = \begin{bmatrix} 1 && 0\\ 0 && 1 \end{bmatrix} $$

On the following figure, the standard deviation along \(x\) is now equal to 2 ( \( _b\sigma_x=2 \) and variance is equal to \( 2^2 \) ) with \(x\) and \(y\) still uncorrelated.

Figure b. |
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The covariance matrix is given by the following matrix:

$$ \Sigma_b= \begin{bmatrix} _b\sigma_x^2 && 0\\ 0 && _b\sigma_y^2 \end{bmatrix} = \begin{bmatrix} 4 && 0\\ 0 && 1 \end{bmatrix} $$

Note that a transformation matrix is hidden behind \(\Sigma_b\). As shown on the following equation, \(S_b\) is the scaling matrix that transforms the random vector from figure a into figure b.

$$ \sqrt{\Sigma_b}=S_b= \begin{bmatrix} 2 && 0\\ 0 && 1 \end{bmatrix} $$

Considering now that \(x\) and \(y\) are linearly correlated, the sample shown on figure c. can be seen as a rotation of figure b.

Figure c. |
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The covariance matrix can be rewriten:

$$ \Sigma_c=R.\Sigma_b.R^T $$

If we assume that the angle of rotation between figure b. and c. is equal to \( \psi \), the rotation matrix \(R\) is given by:

$$ R= \begin{bmatrix} cos(\psi) && -sin(\psi)\\ sin(\psi) && cos(\psi) \end{bmatrix} $$

The covariance matrix generalizes the notion of variance to multiple dimensions and can also be decomposed into transformation matrices (combination of scaling and rotating). These matrices can be extracted through a diagonalisation of the covariance matrix. In this equation the diagonal matrix \(S\) is composed of the standard deviations of the projection of the random vector into a space where variables are uncorrelated:

$$ \Sigma=R.(S.S).R^T $$

where:

- \(R\) is a rotation matrix (eigenvectors);
- \(S\) is a scaling matrix (square root of eigenvalues).

The combined tranformation matrix \(T_{RS}\) can easily be computed from the covariance matrix thanks to the following equation:

$$ \sqrt{\Sigma}=T_{RS}=R.S $$

The product of the transformation matrix \(T_{RS}\) by the unity circle (or a N-Sphere with radius 1 in \(\mathbb{R}^N\)) produces an ellipse (or an ellipsoid in \( \mathbb{R}^N) \) illustrating the uncertainty. This transformation may be especially usefull. It can, for example, be used for displaying the confidence we may have in a measurement or an estimation.

The figures on this page has been created with the following simple Matlab Script:

- Calculating the transformation between two set of points
- Check if a point belongs on a line segment
- Cross product
- Common derivatives rules
- Common derivatives
- Dot product
- How to check if four points are coplanar
- Common integrals
- Sines, cosines and tangeantes of common angles
- Singular value decomposition (SVD) of a 2×2 matrix

Last update : 06/11/2018