Updated version: https://youtu.be/olyVNcJknNg
Definition and properties of the covariance matrix of a random vector.
Probability and statistics book: https://a.co/d/7k259eb
Website with free preprint, videos, slides and solutions to exercises: https://www.ps4ds.net
Slides: https://cds.nyu.edu/wp-content/uploads/2021/05/Covariance-matrix.pdf
Notes: https://cds.nyu.edu/wp-content/uploads/2021/05/covariance_matrix.pdf (Section 1)
Course website: https://cds.nyu.edu/math-tools/
