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单词 covariance
释义 covariance

A measure of the degree of association between the values of two random variables. If x and y are two variables, with mean values μx and μy, where i runs from 1 to N, the covariance of x and y is defined as cov(x, y) = [∑i (xi - μx)(yi - μy )]/[∑i (xi - μx )2i (yi - μy )2 ]1/2. This is the sum of the products of deviations of each variable from its mean, divided by the product of their standard deviations. The highest value cov (x, y) can take is +1, where x and y are perfectly correlated; the lowest value it can take is -1, when x and y are perfectly negatively correlated. If cov (x,y) = 0, x and y are independent.

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更新时间:2024/11/13 15:11:39