Variance is the expectation of the squared deviation of a random variable from its population mean or sample mean. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers is spread out from their average value.
The expected value should be regarded as the average value. When X is a discrete random variable, then the expected value of X is precisely the mean of the corresponding data. The variance should be regarded as (something like) the average of the difference of the actual values from the average.
https://math.berkeley.edu/~scanlon/m16bs04/ln/16b2lec30.pdf
Covariance matrix is a square matrix that displays the variance exhibited by elements of each of datasets and the covariance between a pair of datasets.
https://www.cuemath.com/algebra/covariance-matrix/
