Covariance

This is a measure of how two random variables change together, or the strength of their correlation.

Consider two random variables, and , each with values (i.e., , , , and , , , ). The covariance of and can be found using either of the following equivalent formulas:

Here, is the mean of (or ) and is the mean of (or ).

Pearson Correlation Coefficient

The Pearson correlation coefficient, , is given by:

Here, is the standard deviation of and is the standard deviation of . You may also see written as .