15. Correlation and Independence
Nd787 C4 L1 A11 Correlation And Independence V1
Summary of New Terms
Correlation: When two random variables are correlated, knowledge of one provides some information about the other. For example, the position of a vehicle now and the position of a vehicle in one second are correlated random variables: knowledge of one should give me some insight into the value of the other.
The Pearson correlation coefficient is one way of quantifying this relationship.
Covariance: Covariance is related to correlation. It is a measure of the joint variability of two random variables. If one variable tends to be big when the other is big, then the covariance is positive. The correlation coefficient is simply the normalized version of the covariance.
Additional Resources
Again, the wikipedia articles on these topics are generally thorough and well-explained.