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Definition: Covariance

It is the measurement of the strength of relationship between 2 random variables, i.e. by what measure do these random variable change together. Like correlation, there is a negative or positive covariance. It just signifies the strength or weakness of the relationship.

Cov(X, Y ) = E((X μX)(Y μY ))

Where μX is the Expected value of X and μis the expected value of Y.



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