Covariance X,YX,YX,Y 之间的 Covariance 定义为 Cov(X,Y)=σXY=E[(X−μX)(Y−μY)]Cov(X,Y)=\sigma_{XY}=\mathbb{E}[(X-\mu_X)(Y-\mu_Y)] Cov(X,Y)=σXY=E[(X−μX)(Y−μY)] Correlation X,YX,YX,Y 之间的 Correlation 定义为 Corr(X,Y)=ρXY=σXYσXσYCorr(X,Y)=\rho_{XY}=\frac{\sigma_{XY}}{\sigma_X\sigma_Y} Corr(X,Y)=ρXY=σXσYσXY