Is it possible to have values greater than 1 in a covariance matrix? Actually, I created a precision matrix Q and then inverted it to get the covariance matrix. And I have values greater than 1. Is it normal? Actually, I created a precision matrix of size 100x100 considering I have values for the neighboring points and zero for the non neighboring points. I added a small delta to make the matrix diagonal dominant such that is is positive definite and its inverse exists
Then I calculate the covariance matrix taking its inverse. I can see some values greater than 1. So any suggestions?