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Math and science::INF ML AI

Covariance

Covariance is a real that gives some sense of how much two variables are linearly related to each other, as well as the scale of these variables. Covariance is a function of a probability space and two random variables. Let (Ω,F,P) be a discrete probability space let X:ΩSx and Y:ΩSy, be two random variables, where Sx and Sy are finite subsets of R. Then the covariance of X and Y is:

[Cov[X,Y]=??(?E[X])(?E[Y]))]