Suppose I have two vectors of length 25, and I want to compute their covariance matrix. I try doing this with numpy.cov, but always end up with a 2x2 matrix.
Try this:
import numpy as np x=np.random.normal(size=25) y=np.random.normal(size=25) z = np.vstack((x, y)) c = np.cov(z.T)