Statistics & Probability
Advanced

Covariance

Measures how two variables vary together.

Formula

cov(X,Y)=1n∑(xi−xˉ)(yi−yˉ)\text{cov}(X,Y) = \frac{1}{n}\sum (x_i-\bar{x})(y_i-\bar{y})

Variables

x_i,y_iPaired values
\bar{x},\bar{y}Means

Example

Positive = move together

Did You Know?

Covariance can be any size, which is why statisticians usually rescale it into the more interpretable correlation.

relationship