ELI5: Explain Like I'm 5

Estimation of covariance matrices

Estimation of covariance matrices means figuring out how much different things are connected to each other. It's like a map: the covariance matrix shows how one thing might lead to another. To have an estimation of covariance matrices, you have to look at a lot of data and try to figure out how connected everything is on the map. It's like trying to figure out what roads lead to different places.