Ellipse Representing the Confidence Region of a Covariance Matrix

This Demonstration shows the confidence region defined by a covariance matrix. The equation of the contour of the region is given by , where is the best-fit vector and is the covariance matrix. The parameter is the large data sample limit corresponding to a coverage probability and characterizes the confidence level (e.g. in the 2D case and 68.3% CL). The dashed blue line represents the direction of the parameters correlation.

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References
[1] G. D. Cowan, Statistical Data Analysis, New York: Oxford University Press, 1998.
[2] R. J. Barlow, Statistics: A Guide to the Use of Statistical Methods in the Physical Sciences, New York: John Wiley, 1989.
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