Definition:Covariance

Definition
Let $X$ and $Y$ be random variables.

Let $\mu_X = \expect X$ and $\mu_Y = \expect Y$, the expectations of $X$ and $Y$ respectively, exist and be finite.

Then the covariance of $X$ and $Y$ is defined by:


 * $\map {\operatorname {Cov} } {X, Y} = \expect {\paren {X - \mu_X} \paren {Y - \mu_Y} }$

where this expectation exists.