What are variance and covariance? What do they mean? What are their differences/relationship?
3 answers
Variance is a measure of dispersion of a single random variable X. Covariance is a measure of how much TWO random variables, say X and Y, change together. (The variance is a special case of the covariance when the two variables are identical.)
If you remove the word "random", I would agree with your descriptions of variance and covariance.
A "random variable" is a technical term: it does not mean a variable that is "random" in the colloquial sense. The definitions above are taken from the "variance" and "covariance" entries in Wikipedia, but can be verified at any site containing a statistical glossary, e.g. netmba.
1 answer