Correlation and correlation structure (10) – Inverse Covariance

The covariance matrix is central to many statistical methods. It tells us how variables move together, and its diagonal entries – variances – are very much our go-to measure of uncertainty. But the real action lives in its inverse. We call the inverse covariance matrix either the precision matrix or the concentration matrix. Where did these terms come from? I’ll now explain the origin of these terms and why the inverse of the covariance is named that way. I doubt this has kept you up at night,..