This is a dot product, correct? So the covariance matrix has shape (2, 2)?
mpotoole
Yup---the expression at the bottom involves the Frobenius inner product of two matrices (or a dot product, if you represent the array of gradients as vectors). And the covariance matrix is $2 \times 2$.
This is a dot product, correct? So the covariance matrix has shape (2, 2)?
Yup---the expression at the bottom involves the Frobenius inner product of two matrices (or a dot product, if you represent the array of gradients as vectors). And the covariance matrix is $2 \times 2$.