The covariance of a random variable with itself is simply the variance, .
Covariance captures a measure of the correlation of two variables. Positive covariance indicates that as increases, so does . Negative covariance indicates decreases as increases and vice versa. Zero covariance can indicate that and are uncorrelated.
The correlation coefficient provides a normalized view of correlation based on covariance:
ranges from -1 (for negatively correlated variables) through zero (for uncorrelated variables) to +1 (for positively correlated variables).
While if and are independent we have , the latter does not imply the former.
|Date of creation||2013-03-22 12:19:29|
|Last modified on||2013-03-22 12:19:29|
|Last modified by||Koro (127)|