Covariance

Full definition of covariance

Noun

covariance

(plural covariances)

(statistics) A statistical measure defined as $\scriptstyle\operatorname{Cov}(X, Y) = \operatorname{E}((X - \mu) (Y - \nu))$ given two real-valued random variables X and Y, with expected values

\scriptstyle E(X)\,=\,\mu and

\scriptstyle E(Y)\,=\,\nu

.

(computing, programming) The conversion of data types from wider to narrower in certain situations.

Derived terms

covariance matrix