convariance

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In statistics, covariance is a measure of how closely two variable match one another. For two series x_i and y_i, the covrainace is cacluated using the formula:
      cov(x,y) = ( Σ (x_i - μ_x) × (y_i - μ_y) ) / N.
Covariance is used in many contexst including in time-series analysis and the cacluations of a correlation matrix for dimension reduction of big daa.