covariance

The covariance of two random variables is a measure of joint dispersion, and indicates the strength of their relationship.

Formally,
the covariance of random variables $X, Y$ is given by

Cov (X, Y) = E [(X - μ_{X}) (Y - μ_{Y})]

where $E$ is the expected value and $μ_{Z}$ is the is the mean $E [Z]$ .

This can be simplified to

Cov (X, Y) = E [X Y] - μ_{X} μ_{Y}