Scatter matrix

For the notion in quantum mechanics, see scattering matrix.

In multivariate statistics and probability theory, the scatter matrix is a statistic that is used to make estimates of the covariance matrix of the multivariate normal distribution.

Definition

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

${\overline {\mathbf {x} }}={\frac {1}{n}}\sum _{j=1}^{n}\mathbf {x} _{j}$

where $\mathbf {x} _{j}$ is the jth column of $X\,$.

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

$S=\sum _{j=1}^{n}(\mathbf {x} _{j}-{\overline {\mathbf {x} }})(\mathbf {x} _{j}-{\overline {\mathbf {x} }})^{T}=\left(\sum _{j=1}^{n}\mathbf {x} _{j}\mathbf {x} _{j}^{T}\right)-n{\overline {\mathbf {x} }}{\overline {\mathbf {x} }}^{T}$

where $T$ denotes matrix transpose. The scatter matrix may be expressed more succinctly as

$S=X\,C_{n}\,X^{T}$

where $\,C_{n}$ 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

$C_{ML}={\frac {1}{n}}S.$

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

See also

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