Covariance Correlation

Variance, Convariance, Correlation

Variance

Deviation within the same class data

Covariance

Relation between two random variables

If X, Y are not strongly related, covariance will be near ‘0’

Correlation

Scaled covariance, -1 to 1

If X,Y are dependent, Cor(X,Y)=0

BUT, for Cor(X,Y)=0 X,Y could be highly dependent