In this video, we talk about what the covariance matrix is and what the values in it represents.

References
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Multivariate Normal (Gaussian) Distribution Explained:    • Multivariate Normal (Gaussian) Distri...  
Covariance vs Correlation Explained:    • Covariance and Correlation Explained  

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Eigendecomposition Explained:    • Eigendecomposition Explained  

Contents
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00:00 - Intro
00:16 - Variance in one dimension
00:53 - Variance in multiple dimensions
01:16 - The main diagonal elements
01:54 - The off diagonal elements
02:35 - Covariance vs correlation
03:03 - Outro

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