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Reading 7b: Covariance and Correlation

Covariance is a measure of how much two random variables vary together. For example, height and weight of gira es have positive covariance because when one is big the other tends also to be big. De nition: Suppose X and Y are random variables with means X and Y. The covariance of Xand Y is de ned as Cov(X;Y) = E((X X)(Y Y)):

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