- For the notion in quantum mechanics, see scattering matrix.
Given n samples of m-dimensional data, represented as the m-by-n matrix, , the sample mean is
where is the jth column of .
The scatter matrix is the m-by-m positive semi-definite matrix
where is the n-by-n centering matrix.
The maximum likelihood estimate, given n samples, for the covariance matrix of a multivariate normal distribution can be expressed as the normalized scatter matrix
When the columns of are independently sampled from a multivariate normal distribution, then has a Wishart distribution.
- Estimation of covariance matrices
- Sample covariance matrix
- Wishart distribution
- Outer product—or X⊗X is the outer product of X with itself.
- Gram matrix
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