the.com/covariance
How two variables move together, and whether 'together' means anything at all.
means A statistical measure of whether two variables tend to rise and fall in sync, drift in opposite directions, or show no consistent relationship at all.
from Built straightforward from Latin co- ('together') plus 'variance,' itself from variare ('to vary, change'). 'Variance' entered statistics in the early 1900s to describe spread in a single variable; 'covariance' followed naturally as the term for how two variables' variations move jointly — no hidden story here, just precise Latin bricks stacked by statisticians who needed an exact word for a precise idea.
- not correlation
- unscaled, so units make numbers meaningless alone
- sign tells direction
- positive means they rise together, negative means they trade off
- zero is tricky
- zero covariance doesn't mean independent, just linearly unrelated
- matrix form
- diagonal is variance, off-diagonal is covariance, together they run finance