is a set of random variables with the covariance matrix Cx, and if 
, 
is a set of transformed variables with transformation functions which are linear or well approximated by the linear terms of the Taylor series 
in the neighbourhood of the mean E(X), then the covariance matrix Cy of 
is
where T is the matrix of derivatives ( 
Jacobi Matrix)
If the Xi are independent, i.e. if Cx is diagonal, the variances of the Yi are given by the so-called law of law of error propagation
