What is a variance covariance matrix?

Answer 1

Briefly, the variance for a variable is a measure of the dispersion or spread of scores. Covariance indicates how two variables vary together.

The variance-covariance matrix is a compact way to present data for your variables. The variance is presented on the diagonal (where the column and row intersect for the same variable), while the covariances reside above or below the diagonal.

Answer 2

A variance-covariance matrix is a square matrix that contains the variances of variables on the diagonal and the covariances between each pair of variables off-diagonal. It is used to describe the relationships and variability between multiple variables in a dataset.