Correlation and covariance can be used to analyze the relationship between signals. They can give information on the characteristics of a system and how it behaves.
The expected value of a random variable
is given by
and estimated by
, the average of a sampling of values
of
. The standard deviation of
is given by
and estimated by the sample standard deviation of
.
The covariance
is a measure of the deviation between two sets of random variables.
The correlation
is the degree to which two sets of random variables depend upon each other.
Sample estimates of standard deviations, covariances, and correlations are denoted with hats (^).
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