理解covariance协方差 vs correlation coefficient相关系数

• covariance

From wikipedia, in probability theory and statistics, covariance is a measure of the joint variability of two random variables.

If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the lesser values, the covariance is positive.

In the opposite case, when the greater values of one variable mainly correspond to the lesser values of the other, the covariance is negative.

The sign of the covariance therefore shows the tendency in the linear relationship between the variables.

The magnitude of the covariance is not easy to interpret because it is not normalized and hence depends on the magnitudes of the variables.

The normalized version of the covariance, the correlation coefficient, however, shows by its magnitude the strength of the linear relation.

• Covariance and correlation

From wikipedia, in probability theory and statictics, the mathematical concepts of covariance and correlation are very similar.

Both describe the degree to which two random variables or sets of random variables tend to deviate from their expected values in similar ways.

If X and Y are two random variables, with means (expected values) ${\mu }_X$and${\mu }_Y$and standard deviations ${\sigma }_X$and${\sigma }_Y$,respectively, then their covariance and correlation are as follows:
$$\begin{gathered} covariance: \\ co{v}_{XY}={\sigma }_{XY}=E[(X-{\mu }_X)(Y-{\mu }_Y)] \end{gathered}$$

c o r r e l a t i o n : c o r r X Y = ρ X Y = E [ ( X − μ X ) ( Y − μ Y ) ] σ X σ Y correlation:\\corr_{XY}=\rho_{XY}=\frac{E[(X- \mu_X)(Y-\mu_Y)]}{\sigma_X\sigma_Y} correlation:corrXY​=ρXY​=σ