covariance+between+two+random+variables

Covariance Between Two Random Variables (Distribution Theory) (GWU EMSE-271)
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"The covariance between two real-valued random variables //X// and //Y//, with expected values and is defined as Cov(X,Y) = E((X-mu)(Y-nu)), where E is the expected value operator. This can also be written as Cov(X,Y) = E((X-mu)Y) = E(X(y-nu))." "Random variables whose covariance is zero are called uncorrelated. . "If //X// and //Y// are independent, then their covariance is zero." - [|Wikipedia]

Zero covariance (uncorrelated) "does not necessarily imply independence between X and Y.". - EMSE 271 Fall 2009, Slide 45

EMSE 271

EMSE 271 Fall 2009, Slide 44


 * Sources:**
 * Covariance. (2009, October 12). In //Wikipedia, The Free Encyclopedia//. Retrieved 15:45, October 17, 2009, from []
 * EMSE 271, Fall 2009