cov

The covariance of a set of variables is a measure of the strength of their correlation.

Covariance provides a measure of the strength of the correlation between two or more sets of random variates. The covariance for two random variates X and Y, each with sample size N, is defined by the expectation value cov(X, Y) | = | 〈(X - μ_X)(Y - μ_Y)〉 | = | 〈X Y〉 - μ_X μ_y where μ_x = 〈X〉 and μ_y = 〈Y〉 are the respective means, which can be written out explicitly as cov(X, Y) = sum_(i = 1)^N ((x_i - x^_)(y_i - y^_))/N.

bivariate normal distribution | correlation coefficient | covariance matrix | statistical correlation | variance

Covariance

college level