摘要
本文给出了多维随机向量的方差、协方差的矩阵形式,进一步讨论其方差运算的更一般规则,即不论各随机变量是否独立均能普遍适用的公式——协方差传播律,同时推出权逆阵传播律,并举出其应用。
In this paper,the writer introduces the variance and covariance of multi- dimensional random vector in the form of matrix,and discusses the covariance propagation law-a more general rule which is a consentaneous and general formu- la no matter whether these chance variable are independent or not.The writer also deduces the weight inverse matrix propagation law and enumerates some examples of their application.
关键词
协方差
传播律
权逆阵
误差理论
the covariauce Propagation law
the weight inverse matrix propagation law
