Covariance

Covariance is a statistical measure of how two random variables change together, computed as the expected value of the product of their deviations from their own means. A positive covariance indicates the variables tend to increase together, a negative covariance indicates one tends to increase as the other decreases, and a covariance near zero suggests little linear relationship. Because its size depends on the scale of the variables involved, covariance is often normalized into the dimensionless correlation coefficient. It underlies the variance-covariance matrix used throughout statistics, finance and machine learning to describe multivariate relationships.