This is the current revision of Covariance as edited by DavidB4-bot (Talk | contribs) at 07:01, July 13, 2016. This URL is a permanent link to this version of this page.
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 and respectively, is as follows:
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.