Category:Covariance

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This category contains results about Covariance.


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:

$\cov {X, Y} = \expect {\paren {X - \mu_X} \paren {Y - \mu_Y} }$

where this expectation exists.