convariance

In statistics, covariance is a measure of how closely two variable match one another. For two series x_i and y_i, the covariance is calcuated using the formula:
      cov(x,y) = ( Σ (x_i - μ_x) × (y_i - μ_y) ) / N.

Covariance is used in many contexts including in time-series analysis and the calcuations of a correlation matrix for dimension reduction of big data.