X and Y can be two vectors or matrices of equal size. In first case two vectors are treated as two variables, X values as first variable observables, Y vector values as second variable observabled. In second case two matrices are treated as two variables X and Y, all X values as X variable observables and all Y values as Y variable observables.

For column-vector valued random variables X and Y with respective expected values mu and nu, and respective scalar components m and n, the covariance is defined to be the m×n matrix called the covariance matrix: 

Calculate the covariance matrix from two vectors representing two variables.

Covariance Method