ESS210B
Prof. Jin-Yi Yu
Covariance Matrix – cont.
q
The covariance between two state variables
X
i
and
X
j
is:
q
q
q
q
The covariance matrix is as following:
Here
N
= 1188
X
12
X
1,M-1
X
1M
X
11
X
13
•••••
X
22
X
2,M-1
X
2,M
X
21
X
23
•••••
X
32
X
3,M-1
X
3,M
X
31
X
33
•••••
X
M-1,2
X
M-1,M-1
X
M-1,M
X
M-1,1
X
M-1,3
•••••
X
M,2
X
M,M-1
X
M,M
X
M,1
X
M,3
•••••
Here
M
= 200