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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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How to determine the confidence interval or significance of a covariance estimate

The covariance, $\sigma(x, y)$, is given as: $$\sigma(x, y)=E[(x-\mu_x)(y-\mu_y)]$$ to consider if a value f the covariance is significantly different from zero first consider what are the limits on the … covariance. …
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