Covariance

probability-theory

Definition

Covariance

The covariance $\mathbb{C}ov(X,Y)$ between two random variables is a measure of alignment and joint variability, and is defined as:

$$\mathbb{C}ov(X,Y)=\mathbb{E}[(X-\mathbb{E}[X])(Y-\mathbb{E}[Y])]$$