Difference between revisions of "Covariance"
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A numerical characteristic of the joint distribution of two random variables, equal to the mathematical expectation of the product of the deviations of these two random variables from their mathematical expectations. The covariance is defined for random variables <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/c/c026/c026800/c0268001.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/c/c026/c026800/c0268002.png" /> with finite variance and is usually denoted by <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/c/c026/c026800/c0268003.png" />. Thus, | A numerical characteristic of the joint distribution of two random variables, equal to the mathematical expectation of the product of the deviations of these two random variables from their mathematical expectations. The covariance is defined for random variables <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/c/c026/c026800/c0268001.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/c/c026/c026800/c0268002.png" /> with finite variance and is usually denoted by <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/c/c026/c026800/c0268003.png" />. Thus, | ||
Revision as of 13:07, 28 February 2013
A numerical characteristic of the joint distribution of two random variables, equal to the mathematical expectation of the product of the deviations of these two random variables from their mathematical expectations. The covariance is defined for random variables 
and 
with finite variance and is usually denoted by 
. Thus,
 |
so that 
; 
. The covariance naturally occurs in the expression for the variance of the sum of two random variables:
 |
If 
and 
are independent random variables, then 
. The covariance gives a characterization of the dependence of the random variables; the correlation coefficient is defined by means of the covariance. In order to statistically estimate the covariance one uses the sample covariance, computed from the formula
 |
where the 
, 
, are independent random variables and 
and 
are their arithmetic means.
Comments
In the Western literature one always uses 
or 
for the variance, instead of 
.
Covariance. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Covariance&oldid=29497