title: How to calculate the Standard error from a Variance-covariance matrix?
body: <p>I am calculating a variance-covariance matrix and I see two different ways of calculating the standard errors:</p>
  
  <ul>
  <li>sqrt(diagonal values/number of observations)</li>
  </ul>
  
  <p>e.g. standard deviation / sqrt(number of observations)</p>
  
  <p>(as is given from on how to calculate the standard error <a href="https://en.wikipedia.org/wiki/Standard_error" rel="nofollow noreferrer">https://en.wikipedia.org/wiki/Standard_error</a>)</p>
  
  <p>or some people say it is simply</p>
  
  <ul>
  <li>sqrt(diagonal values)</li>
  </ul>
  
  <p>I had previously thought that the diagonal values in the variance-co-variance matrix were the variance and hence the square root would be the standard deviation (not the SE). However, the more I read the more I think I may be wrong and that it is the SE, but I am unsure why this is the case.</p>
  
  <p>Can anyone help? Many thanks!!</p>