Let $X \in \text{Random}(\mathbb{R}^N)$ be a D4383: Random euclidean real number such that

(i)	\begin{equation} \mathbb{E} |X|^2 < \infty \end{equation}

The variance of $X$ is the D4571: Real matrix \begin{equation} \begin{bmatrix} \mathbb{E}[(X_1 - \mathbb{E} X_1) (X_1 - \mathbb{E} X_1)] & \mathbb{E}[(X_1 - \mathbb{E} X_1) (X_2 - \mathbb{E} X_2)] & \cdots & \mathbb{E}[(X_1 - \mathbb{E} X_1) (X_N - \mathbb{E} X_N)] \\ \mathbb{E}[(X_2 - \mathbb{E} X_2) (X_1 - \mathbb{E} X_1)] & \mathbb{E}[(X_2 - \mathbb{E} X_2) (X_2 - \mathbb{E} X_2)] & \vdots & \mathbb{E}[(X_2 - \mathbb{E} X_2) (X_N - \mathbb{E} X_N)] \\ \vdots & \cdots & \ddots & \vdots \\ \mathbb{E}[(X_N - \mathbb{E} X_N) (X_1 - \mathbb{E} X_1)] & \mathbb{E}[(X_N - \mathbb{E} X_N) (X_2 - \mathbb{E} X_2)] & \cdots & \mathbb{E}[(X_N - \mathbb{E} X_N) (X_N - \mathbb{E} X_N)] \end{bmatrix} \end{equation}