| Covariance Matrix – cont. |
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| q | The covariance between two state variables Xi
and Xj is: |
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| q | The covariance matrix is as following: |
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| X11 |
| X12 |
| ••••• |
| X1,M-1 |
| X1M |
| X13 |
| X21 |
| X22 |
| ••••• |
| X2,M-1 |
| X2,M |
| X23 |
| X31 |
| X32 |
| X3,M-1 |
| X3,M |
| Here
M= 200 |
| X33 |
| ••••• |
| XM-1,1 |
| XM-1,2 |
| ••••• |
| XM-1,M-1 |
| XM-1,M |
| XM-1,3 |
| XM,1 |
| XM,2 |
| ••••• |
| XM,M-1 |
| XM,M |
| XM,3 |