Nevron .NET Vision Documentation

Covariance

Chart for .NET > User's Guide > Data Manipulation > Functions > Statistical Functions > Covariance |

Syntax

COVARIANCE(values1; values2)

Arguments

The 'values1' and 'values2' arguments must be arrays.

Result

The result is a single value.

Description

Covariance is the measure of how much two variables vary together. The covariance becomes more positive for each pair of values which differ from their mean in the same direction, and becomes more negative with each pair of values which differ from their mean in opposite directions. In this way, the more often they differ in the same direction, the more positive the covariance, and the more often they differ in opposite directions, the more negative the covariance.

The units of measurement of the covariance of two sets X and Y are those of X times those of Y. By contrast, the correlation, which depends on the covariance, is a dimensionless measure of linear dependence.

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