Linear Dependence Between Random Variables
The covariance is sometimes called a measure of "linear dependence" between two random variables. That does not mean the same thing as in the context of linear algebra. When the covariance is normalized, one obtains the correlation matrix. From it, one can obtain the Pearson coefficient, which gives us the goodness of the fit for the best possible linear function describing the relation between the variables. In this sense covariance is a linear gauge of dependence.
Read more about this topic: Linear Independence
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