Lesson 39 of 48
Expectation, variance, covariance
The centre, the spread, and whether two quantities move together.
Three numbers that summarise a distribution well enough to reason with. Covariance also carries the single most abused fact in applied statistics: moving together is not causing.
Do this
Compute a distribution's mean and variance analytically and from a large sample, and show they agree. Then construct two correlated variables and measure the covariance you designed in.
The question that unlocks the next lesson
Two variables have covariance near zero. What can you conclude?
- AThey are independent
- BThey have no linear relationship — but they may still be strongly related non-linearly
- COne causes the other
- DBoth have zero variance