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Covariance

For a series of (x_i,y_i) pairs, the covariance is calculated as

cov = (xixavg)(yiyavg)N

with x_avg and y_avg the average values of all the x_i and y_i, and N the total number of pairs.

Compare with Variance, that expresses the variations in a single series of elements.

See http://en.wikipedia.org/wiki/Covariance