Editing Covariance matrix (section)

== Standard deviation matrix ==
{{Main|Standard deviation#Standard deviation matrix}}

The standard deviation matrix <math>\mathbf{S}</math> is the extension of the standard deviation to multiple dimensions.  It is the symmetric [[Square root of a matrix|square root]] of the covariance matrix <math>\mathbf{\Sigma}</math>. <ref name="Das">{{cite arXiv |eprint=2012.14331 |last1=Das |first1=Abhranil |author2=Wilson S Geisler |title=Methods to integrate multinormals and compute classification measures |date=2020 |class=stat.ML }}</ref>