next up previous

2.2.5 Covariance and Correlation Coefficient

The cancellation of the last term in Eq. (15) for independent r.v.'s motivates the concept of the covariance.

If x and y are independent, then . However, it is possible to have even if x and y are not independent. It should be noted that the covariance can be negative. A related quantity that arises often in statistical analysis is the correlation coefficient, which is a convenient measure of the degree to which two r.v.'s are correlated (or anti-correlated).

It is easily shown that .