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Definition

Given n samples of m-dimensional data, represented as the m-by-n matrix, X = [ x 1 , x 2 , … , x n ] {\displaystyle X=[\mathbf {x} _{1},\mathbf {x} _{2},\ldots ,\mathbf {x} _{n}]} , the sample mean is

x ¯ = 1 n ∑ j = 1 n x j {\displaystyle {\overline {\mathbf {x} }}={\frac {1}{n}}\sum _{j=1}^{n}\mathbf {x} _{j}}

where x j {\displaystyle \mathbf {x} _{j}} is the j-th column of X {\displaystyle X} .¹

The scatter matrix is the m-by-m positive semi-definite matrix

S = ∑ j = 1 n ( x j − x ¯ ) ( x j − x ¯ ) T = ∑ j = 1 n ( x j − x ¯ ) ⊗ ( x j − x ¯ ) = ( ∑ j = 1 n x j x j T ) − n x ¯ x ¯ T {\displaystyle S=\sum _{j=1}^{n}(\mathbf {x} _{j}-{\overline {\mathbf {x} }})(\mathbf {x} _{j}-{\overline {\mathbf {x} }})^{T}=\sum _{j=1}^{n}(\mathbf {x} _{j}-{\overline {\mathbf {x} }})\otimes (\mathbf {x} _{j}-{\overline {\mathbf {x} }})=\left(\sum _{j=1}^{n}\mathbf {x} _{j}\mathbf {x} _{j}^{T}\right)-n{\overline {\mathbf {x} }}{\overline {\mathbf {x} }}^{T}}

where ( ⋅ ) T {\displaystyle (\cdot )^{T}} denotes matrix transpose,² and multiplication is with regards to the outer product. The scatter matrix may be expressed more succinctly as

S = X C n X T {\displaystyle S=X\,C_{n}\,X^{T}}

where C n {\displaystyle \,C_{n}} is the n-by-n centering matrix.

Application

The maximum likelihood estimate, given n samples, for the covariance matrix of a multivariate normal distribution can be expressed as the normalized scatter matrix

C M L = 1 n S . {\displaystyle C_{ML}={\frac {1}{n}}S.} ³

When the columns of X {\displaystyle X} are independently sampled from a multivariate normal distribution, then S {\displaystyle S} has a Wishart distribution.

See also

• Estimation of covariance matrices
• Sample covariance matrix
• Wishart distribution
• Outer product— X X ⊤ {\displaystyle XX^{\top }} or X⊗X is the outer product of X with itself.
• Gram matrix

References

1. Raghavan (2018-08-16). "Scatter matrix, Covariance and Correlation Explained". Medium. Retrieved 2022-12-28. https://medium.com/@raghavan99o/scatter-matrix-covariance-and-correlation-explained-14921741ca56 ↩

2. Raghavan (2018-08-16). "Scatter matrix, Covariance and Correlation Explained". Medium. Retrieved 2022-12-28. https://medium.com/@raghavan99o/scatter-matrix-covariance-and-correlation-explained-14921741ca56 ↩

3. Liu, Zhedong (April 2019). Robust Estimation of Scatter Matrix, Random Matrix Theory and an Application to Spectrum Sensing (PDF) (Master of Science). King Abdullah University of Science and Technology. https://repository.kaust.edu.sa/bitstream/handle/10754/652444/Thesis.pdf?sequence=1&isAllowed=y ↩