Figure 3. .

There are three paths between node “a” and “b” as illustrated with three different colors. According to the covariance matrix the covariance between node “a” and “b” is −0.235. Applying the explained formula in Theorem 1 in Jones and West (2005), the covariance between two nodes (in here as an example “a” and “b”) decomposed into a sum of weights associated with each of the paths connecting those two nodes. Sum of weights of a-x-b, a-b, and a-y-b paths will be equal to −0.235.