AI engineering glossary · Probability
What is covariance?
Covariance: A measure of how two random variables move together: Cov(X, Y) = E[(X - E[X])(Y - E[Y])]. It is positive when they tend to be high or low together, negative when one is high as the other is low, and near zero when there is no linear relationship.
Covariance: an example
Hours studied and exam marks typically have positive covariance; hours of TV and marks may have negative covariance.
Related terms
More Probability terms
- Cumulative distribution function
- Dependent events
- Discrete random variable
- Empirical probability
- Empirical rule
- Event
- Evidence
- Exhaustive events
Where you learn it
Covariance is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.