Is there a good reason to use covariance and not correlation?

analianopolisca

analianopolisca

Open question

2022-08-18

Is there a good reason to use covariance and not correlation?

Answer & Explanation

kidoceanoe

kidoceanoe

Beginner2022-08-19Added 15 answers

Step 1
Covariances are generally more easy to handle mathematically. If X and Y are random variables with expectation zero,
C o v ( X , Y ) = E [ X Y ]
Whereas:
C o r r ( X , Y ) = E [ X Y ] E [ X 2 ] E [ Y 2 ]
The covariance can be seen as an inner product (dot product) on the space of random variables with finite variance and expectation zero. Consequentially, it has many nice mathematical properties, and is important to study such random variables geometrically. An important example is that X C o v ( X , Y ) is linear, but X C o r r ( X , Y ) is not linear.

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