Chapter 9 Covariance and Correlation

One of the most common tasks in statistics and data analysis that we have to deal with is answering the ever-present question: Given two variables \(X\) and \(Y\), what is the relationship between them? The answer to this question largely depends on two major factors.

One factor is the way in which the notion of “relationship” is defined in mathematical terms. The other factor has to do with the nature of the variables (e.g. continuous, discrete, ordinal, nominal, binary, etc).