Covariance

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Covariance

A statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value.

Covariance

The degree to which two variables are correlated. That is, covariance is the measure of how much two variables are related to one another. It is important in security analysis to determine how much or how little price movements in two companies or industries are connected.

covariance

A statistical measure of the extent to which two variables move together. Covariance is used by financial analysts to determine the degree to which return on two securities is related. In general, a high covariance indicates similar movements and lack of diversification. Compare variance. See also risk.
References in periodicals archive ?
An AR model of order 7 or 8 is required for Burg or Covariance method and order 9 or 10 for Yule-Walker.
The Lerman and Yitzhaki covariance method is employed to calculate Gini estimates; these estimates are more accurate than would have been possible with other methods, because microlevel, and not grouped, data are required.
It has been demonstrated that these approaches are capable of effectively seizing most useful information stored in the available data (e.g., the measurements based on eddy covariance method), without depending on any complex underlying knowledge about the evolving process of ET.
Closed-Loop Linear Covariance Analysis introduces the analytical linear covariance method to quantify the robustness measure for closed-loop relative trajectory dispersion.
On the basis of this principle, there are several main methods for detection of PBLH, such as gradient method, standard variance method, iterative curve-fitting method, and wavelet covariance method [16-20].