Co-Variance

What is Co-variance?

Co-variance is the metric to find out positive, negative or no relation between two different dataset / distribution

Formula of Co-variance

$C o - v a r i a n c e (x, y) = \frac{\sum (x_{i} - \bar{x}) (y_{i} - \bar{y})}{N - 1}$

Co-variance tells us the direction of the linear relationship between two random variables.
Co-variance is hard to interpret because it is susceptible to scale
So if the scale increases with same relationship, the values differ a lot
The only observation we can have
- $C o - v a r i a n c e > 0$ - Positive Relation
- $C o - v a r i a n c e < 0$ - Negative Relation
- $C o - v a r i a n c e = 0$ - No Relation
The range of Co-variance is $[- \infty, + \infty]$

Related Notes