Covariance Matrix

Intuitively, the covariance matrix generalizes the notion of variance to multiple dimensions. As an example, the variation in a collection of random points in two-dimensional space cannot be characterized fully by a single number, nor would the variances in the x and y directions contain all of the necessary information; a 2×2 matrix would be necessary to fully characterize the two-dimensional variation.

A geometric interpretation of the covariance matrix

Statistics 101: The Covariance Matrix - YouTube

How to draw an error ellipse representing the covariance ...

How to draw an error ellipse representing the covariance ...

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