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Results tagged with covariance
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user 35582
Covariance is a quantity used to measure the strength and direction of the linear relationship between two variables. The covariance is unscaled, & thus often difficult to interpret; when scaled by the variables' SDs, it becomes Pearson's correlation coefficient.
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Law of total covariance with multiple conditionals
The law of total covariance states:
$Cov(X,Y) = E(Cov(X,Y|Z)) + Cov(E(X|Z),E(Y|Z))$
If I condition on another variable $T$, does this still hold? E.g. …
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