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]
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