Covariance matrix calculator
Paste three columns of observations in matching order. The calculator returns the complete 3×3 matrix and the correlation for every variable pair.
3×3 covariance matrix
| Variable | X | Y | Z |
|---|---|---|---|
| Fill in the fields above — the result is computed on this page. | |||
How do I use this page?
- Paste three columns in matching order.
- Choose sample or population.
- Read the matrix, correlations and determinant.
What this page does not do: The calculator supports exactly three variables and describes linear relationships. It does not establish causation.
Further reading
Theory — what is a covariance matrix?
The covariance matrix calculator produces a full 3×3 matrix for three columns of observations pasted in matching order. The diagonal holds the variance of each variable, while off-diagonal entries hold the covariance of every pair, with symmetric elements being the same covariance. The sign of covariance shows the direction of joint variation, but its magnitude depends on the units the data were measured in. The determinant of the whole matrix is known as the generalized variance.
Frequently asked questions
What is on the matrix diagonal?
Why is the determinant zero?
See also
A/B test calculator
Compare two proportions in an A/B test. Calculate conversion rates, difference, uplift, z score, p value and c
A/B test planning — sample size, MDE and duration
Plan a two-proportion experiment, estimate detectable effect and traffic duration.
ACF and PACF autocorrelation calculator
Calculate ACF and PACF across time-series lags. Review the chart, reference bounds and coefficient table.