Covariance and correlation

Uncorrelatedness (probability theory)

In probability theory and statistics, two real-valued random variables, , , are said to be uncorrelated if their covariance, , is zero. If two variables are uncorrelated, there is no linear relationship between them. Uncorrelated random variables have a Pearson correlation coefficient, when it exists, of zero, except in the trivial case when either variable has zero variance (is a constant). In this case the correlation is undefined. In general, uncorrelatedness is not the same as orthogonality, except in the special case where at least one of the two random variables has an expected value of 0. In this case, the covariance is the expectation of the product, and and are uncorrelated if and only if . If and are independent, with finite second moments, then they are uncorrelated. However, not all uncorrelated variables are independent. (Wikipedia).

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From playlist Probability Theory

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From playlist Probability Theory

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From playlist Probability Theory

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From playlist Probability Theory

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(PP 6.6) Geometric intuition for the multivariate Gaussian (part 1)

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From playlist Probability Theory

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(PP 6.7) Geometric intuition for the multivariate Gaussian (part 2)

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From playlist Probability Theory

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Related pages

Orthogonality | Variance | Random variable | If and only if | Binomial distribution | Cross-covariance matrix | Probability theory | Pearson correlation coefficient | Statistics | Complex random variable | Normally distributed and uncorrelated does not imply independent | Stochastic process | Representative elementary volume | Bernoulli distribution | Covariance