Howtosignalprocessing
- What is the covariance of a random function?
- What is covariance of a random variable?
- How do you find the covariance function?
What is the covariance of a random function?
Covariance measures the total variation of two random variables from their expected values. Using covariance, we can only gauge the direction of the relationship (whether the variables tend to move in tandem or show an inverse relationship).
What is covariance of a random variable?
Covariance is a measure of the relationship between two random variables and to what extent, they change together. Or we can say, in other words, it defines the changes between the two variables, such that change in one variable is equal to change in another variable.
How do you find the covariance function?
Covariance is calculated by analyzing at-return surprises (standard deviations from the expected return) or multiplying the correlation between the two random variables by the standard deviation of each variable.
