These three types of matrices often form the basis of a multivariate method. The correlation and the covariance matrix are also often used for a first inspection of relationships among the variables of a multivariate data set. Therefore it is crucial to understand the principles behind them and the pitfalls which may arise from not-as-expected data sets.
How are these matrices related to each other?
Basically, all of these matrices are calculated using the same procedure: ATA. The only difference between them is how the data is scaled before the matrix multiplication is executed:
- scatter matrix: no scaling
- covariance: the mean of each variable is subtracted before multiplication
- cross correlation: each variable is standardized (mean subtracted, then divided by standard deviation)
original website http://www.statistics4u.com/fundstat_eng/cc_covarmat.html