Calculator for calculating the covariance of two data series
Covariance is a measure of the linear relationship between two statistical variables.
The covariance can be determined as a sample covariance for a subset, or for the entire set. Different formulas apply for total quantity or sample.
To perform the calculation, enter two series of numbers. Then click the 'Calculate' button.
Input format
The data can be entered as a series of numbers, separated by semicolons or spaces. You can enter the data as a list (one value per line). Or from a column from Excel spreadsheet by copy & paste
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Empirical covariance
To calculate the covariance of a sample
\(\displaystyle cov(x,y)=\frac{1}{n-1} \left( \sum^n_{i=1} (x_i-\overline{x})(x_i-\overline{y}) \right) \)
Covariance
To calculate the covariance of a total quantity
\(\displaystyle cov(x,y)=\frac{1}{n} \left( \sum^n_{i=1} (x_i-\overline{x})(x_i-\overline{y}) \right) \)
\(n\) Number of data points \(x_i\) Single value of x \(\overline{x}\) Mean of x \(y_i\) Single value of y \(\overline{y}\) Mean of y
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