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 HolderÃ¢â‚¬â„¢s inequality.