Covariance between X and Y
- STATISTICS
Covariance between X and Y Let $(x_i, y_i), i=1,2, \cdots , n$ be $n$ pairs of observations.
Covariance measures the simultaneous variability between the two variables. It indicates how the two variables are related. A positive value of covariance indicate that the two variables moves in the same direction, whereas a negative value of covariance indicate that the two variables moves on opposite direction.
Formula The sample covariance between $x$ and $y$ is denoted by $Cov(x,y)$ or $s_{xy}$ and is defined as