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Covariance matrix (measurement)

Definition

symmetric positive semi-definite matrix of dimension N × N associated with an estimate of a real vector quantity of dimension N × 1, containing on its diagonal the squares of the standard uncertainties associated with the respective components of the estimate of the quantity, and, in its off-diagonal positions, the covariances associated with pairs of components of that estimate

Source

GUM S2 [RD6]

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