“covariance”的概念、定义、习题解题方法及翻译-数学辞典

单词

covariance

释义

covariance

The covariance of two random variables X and Y, denoted by Cov(X, Y), is equal to E((X − μX)(Y − μY)), where μX and μY are the population means of X and Y respectively (see expected value). If X and Y are independent random variables, then Cov(X, Y)=0. For computational purposes, note E((X − μX)(Y − μY))=E(XY) − μX μY. For a sample of n paired observations (x1, y1), (x2, y2),…, (xn, yn), the sample covariance is equal to

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