分散共分散行列
$ \Sigma=V(x)=\left[\begin{array}{cccc}{V\left(x_{1}\right)} & {C\left(x_{1}, x_{2}\right)} & {\cdots} & {C\left(x_{1}, x_{p}\right)} \\ {C\left(x_{2}, x_{1}\right)} & {V\left(x_{2}\right)} & {\cdots} & {C\left(x_{2}, x_{p}\right)} \\ {\vdots} & {\vdots} & {\ddots} & {\vdots} \\ {C\left(x_{p}, x_{1}\right)} & {C\left(x_{p}, x_{2}\right)} & {\cdots} & {V\left(x_{p}\right)}\end{array}\right]
$ p次元の行列を考えている
$ x_i,x_jの母共分散$ C(x_i,x_j)