Other Definitions
covariance (dict)
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Covariance -
- This article is not about the physics topic, covariant transformation, nor about the mathematics example for groupoids, covariance in special relativity, nor about parameter covariance in object-oriented programming.
In probability theory and statistics, the covariance between two real-valued random variables X and Y, with expected values and is defined as: -
where E is the expected value. This is equivalent to the following formula which is commonly used in actual calculations: -
If X and Y are independent, then their covariance is zero. This follows because under independence, - .
The converse, however, is not true: it is possible that X and Y are not independent, yet their covariance is zero. Random variables whose covariance is zero are called uncorrelated. If X and Y are real-valued random variables and c is a constant ("constant", in this context, means non-random), then the following facts are a consequence of the definition of covariance: -
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For column-vector valued random variables X and Y with respective expected values μ and ν, and n and m scalar components respectively, the covariance is defined to be the n×m matrix -
For vector-valued random variables, cov(X, Y) and cov(Y, X) are each other's transposes. The covariance is sometimes called a measure of "linear dependence" between the two random variables. That phrase does not mean the same thing that it means in a more formal linear algebraic setting (see linear dependence), although that meaning is not unrelated. The correlation is a closely related concept used to measure the degree of linear dependence between two variables.
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