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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.
Identifier: 
http://www.math.uah.edu/stat/expect/Covariance.html
Rating: 
2.95
Average: 3 (249 votes)
Creator(s): 
Kyle Siegrist
Cataloger: 
Lisa Green
Publisher: 
Virtual Laboratories in Probability and Statistics
Rights: 
Creative Commons

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