Covariance and Correlation in Probability

The covariance and correlation between two random variables is an important concept in probability and statistics that generalizes to data science and machine learning, especially for higher dimensional systems.

This video was produced at the University of Washington, and we acknowledge funding support from the Boeing Company

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00:00 Intro
01:50 Defining Covariance
03:48 Visual Intuitions of Covariance
08:05 Reformulation of Covariance
11:14 Covariance of Independents is 0
12:08 Covariance 0 is Not Independence
14:13 Additional Properties
16:06 Defining Correlation
17:51 Correlation Over Linear Transforms
18:53 Outro