Covariance and correlation

In probability theory and statistics, the mathematical concepts of covariance and correlation are very similar. Both describe the degree to which two random variables or sets of random variables tend to deviate from their expected values in similar ways. In probability theory and statistics, the mathematical concepts of covariance and correlation are very similar. Both describe the degree to which two random variables or sets of random variables tend to deviate from their expected values in similar ways. If X and Y are two random variables, with means (expected values) μX and μY and standard deviations σX and σY, respectively, then their covariance and correlation are as follows: