covariance

Covariance is a measure of joint-variability of two random variables.

Mathematically speaking, it is defined as: $cov(X, Y) = E[(X - E[X]) . (Y - E[Y])]$ Where:

• X, Y = two random variables
• cov(X,Y) = covariance between X, Y
• E[.] = expectation of the input random variable

This can be further simplified to: $cov(X, Y) = E[X.Y] - E[X].E[Y]$