COVARIANCE

Covariance

In probability theory and statistics, covariance is a measure of how much two random variables change together. If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the smaller values, i.e., the variables tend to show similar behavior, the covariance is positive. In the opposite case, when the greater values of one variable mainly correspond to the smaller values of the other, i.e., the variables tend to show opposite behavior, the covariance is negative. The sign of the covariance therefore shows the tendency in the linear relationship between the variables. The magnitude of the covariance ...

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covariance

Noun

  1. A statistical measure defined as <math>\scriptstyle\operatorname{Cov}(X, Y) = \operatorname{E}((X - \mu) (Y - \nu))</math> given two real-valued random variables X and Y, with expected values <math>\scriptstyle E(X)\,=\,\mu</math> and <math>\scriptstyle E(Y)\,=\,\nu</math>.
  2. The conversion of data types from wider to narrower in certain situations.


The above text is a snippet from Wiktionary: covariance
and as such is available under the Creative Commons Attribution/Share-Alike License.

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