Difference between revisions of "Covariance"
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| − | '''Covariance''' | + | '''Covariance''' is a measure of the linear dependence of two [[variable]]s. If two variables tend to vary in the same direction, then they have a positive covariance. If they tend to vary in opposite directions, then they have a negative covariance. |
| − | The covariance between two | + | The covariance between two random variables ''X'' and ''Y'', having expected values <math>\mu</math> and <math>\nu</math> respectively, is as follows: |
| − | : <math>\operatorname{Cov}(X, Y) = \operatorname{E} | + | : <math>\operatorname{Cov}(X, Y) = \operatorname{E}[(X - \mu) (Y - \nu)], \,</math> |
| − | where E is the operator for the [[ | + | where E is the operator for the [[expectation (math)|expectation]]. |
| − | If ''X'' and ''Y'' are completely independent from each other, then they have zero covariance. | + | If ''X'' and ''Y'' are completely [[statistically independent]] from each other, then they have zero covariance. |
| − | Note that if ''X'' and ''Y'' have covariance zero, they are [[ | + | Note that if ''X'' and ''Y'' have covariance zero, they are un[[correlated]] but are not necessarily independent. |
| − | [[ | + | |
| + | [[Category:Probability and Statistics]] | ||
Latest revision as of 07:01, July 13, 2016
Covariance is a measure of the linear dependence of two variables. If two variables tend to vary in the same direction, then they have a positive covariance. If they tend to vary in opposite directions, then they have a negative covariance.
The covariance between two random variables X and Y, having expected values <math>\mu</math> and <math>\nu</math> respectively, is as follows:
- <math>\operatorname{Cov}(X, Y) = \operatorname{E}[(X - \mu) (Y - \nu)], \,</math>
where E is the operator for the expectation.
If X and Y are completely statistically independent from each other, then they have zero covariance.
Note that if X and Y have covariance zero, they are uncorrelated but are not necessarily independent.