Covariance: Difference between revisions
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''Statistics'' | ''Statistics'' | ||
Covariance is an absolute measure of the correlation between two variables. | Covariance is an absolute measure of the correlation between two variables. | ||
The greater the positive covariance, the more likely the variables are to move in the same direction at the same time. | The greater the positive covariance, the more likely the variables are to move in the same direction at the same time. | ||
Covariance is calculated as the expected value of the product of the differences of each variable from its mean. | Covariance is calculated as the expected value of the product of the differences of each variable from its mean. | ||
== See also == | == See also == | ||
* [[Correlation coefficient]] | * [[Correlation coefficient]] | ||
* [[Variance]] | * [[Variance]] | ||
[[Category:Corporate_financial_management]] | |||
[[Category:Manage_risks]] | |||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 10:59, 13 December 2016
Statistics
Covariance is an absolute measure of the correlation between two variables.
The greater the positive covariance, the more likely the variables are to move in the same direction at the same time.
Covariance is calculated as the expected value of the product of the differences of each variable from its mean.
