Definition: Covariance
Index: The Book of Statistical Proofs ▷ General Theorems ▷ Probability theory ▷ Covariance ▷ Definition
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Metadata: ID: D70 | shortcut: cov | author: JoramSoch | date: 2020-06-02, 20:20.
Definition: The covariance of two random variables $X$ and $Y$ is defined as the expected value of the product of their deviations from their individual expected values:
\[\label{eq:cov} \mathrm{Cov}(X,Y) = \mathrm{E}\left[ (X-\mathrm{E}[X]) (Y-\mathrm{E}[Y]) \right] \; .\]- Wikipedia (2020): "Covariance"; in: Wikipedia, the free encyclopedia, retrieved on 2020-02-06; URL: https://en.wikipedia.org/wiki/Covariance#Definition.
Metadata: ID: D70 | shortcut: cov | author: JoramSoch | date: 2020-06-02, 20:20.