Covariance and correlation

Just a real quick post today as I spent all evening working on my paper.

Given two random variables, X and Y, the covariance of X and Y is

Cov(X, Y) = E((X-u_X)(Y-u_Y)).

The correlation of X and Y (also called the correlation coefficient) is

ρ_XY = Cov(X, Y)/σ_X σ_Y They're just definitions, so there's not really anything to understand. Very important to know them, though.