Concentration Matrix

In statistics, the precision matrix or concentration matrix is the matrix inverse of the covariance matrix or dispersion matrix, P = Σ − 1 {\displaystyle P=\Sigma ^{-1}} .[1][2][3] For univariate distributions, the precision matrix degenerates into a scalar precision, defined as the reciprocal of the variance, p = 1 σ 2 {\displaystyle p={\frac {1}{\sigma ^{2}}}} .[4]