Question

How to find cross covariance from two covariance matrices?

Answer 1

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Var(X) = Σ ( Xi - X )2 / N = Σ xi2 / N.

N is the number of scores in a set of scores. X is the mean of the N scores. ...

Cov(X, Y) = Σ ( Xi - X ) ( Yi - Y ) / N = Σ xiyi / N.

N is the number of scores in each set of data. X is the mean of the N scores in the first data set.❤️

Answer 2

Let x=(x1,...,xn)T and y=(y1,...,yn)T be two random vectors, with covariance matrices Exx and Eyy, respectively.