Difference between revisions of "Covariance"
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| − | + | In probability theory and statistics, covariance is a measure of how much two variables change together. | |
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| + | <math>{Cov}(X,Y) = {E}\big[X Y\big] - {E}[X] \cdot {E}[Y]</math> | ||
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| + | Where where <math>{E[}X]</math> is the [[Expected Value|Expected Value]] of X. | ||
[[Category:math]] | [[Category:math]] | ||
Latest revision as of 19:51, 27 August 2020
In probability theory and statistics, covariance is a measure of how much two variables change together.
![{\displaystyle {Cov}(X,Y)={E}{\big [}XY{\big ]}-{E}[X]\cdot {E}[Y]}](https://wikimedia.org/api/rest_v1/media/math/render/svg/d88cefcdba8816b287a1bdf5f0fa8c5c2457d559)
Where where is the Expected Value of X.
![{\displaystyle {E[}X]}](https://wikimedia.org/api/rest_v1/media/math/render/svg/b0b71db99b72f0ac70a22e055799eedefcd1502a)
