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Covariance (Numeric Data)

  • Covariance is similar to correlation

Correlation coefficient:

where n is the number of tuples, and are the respective mean or expected values of A and B, σA and σB are the respective standard deviation of A and B.

  • Positive covariance: If CovA,B > 0, then A and B both tend to be larger than their expected values.
  • Negative covariance: If CovA,B < 0 then if A is larger than its expected value, B is likely to be smaller than its expected value.
  • Independence: CovA,B = 0 but the converse is not true:
    • Some pairs of random variables may have a covariance of 0 but are not independent. Only under some additional assumptions (e.g., the data follow multivariate normal distributions) does a covariance of 0 imply independence

Speaker notes:

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