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Covariance and Correlation - Comprehensive Introduction  

This page contains the definition of the covariance and correlation of random variables. It contains properties, with proofs, of both concepts, such as the variance of a sum. It also has a discussions about the best linear predictor of a response variables. It also has questions for the reader (answers are given through a small link at the end of the page). Finally, there is a discussion of vector space concepts that includes the covariance as an inner product and Holder’s inequality.

Resource URL: http://www.math.uah.edu/stat/expect/Covariance.html

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Subject classification(s): Univariate Distributions | Probability | Statistics and Probability

Creator(s): Kyle Siegrist

Contributor(s): Kyle Siegrist

This resource was cataloged by Lisa Green

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