Covariance

Covariance is used to understand how two variables move together. If both variables tend to increase or decrease together, covariance is positive; if one tends to increase while the other decreases, it may be negative. However, because the magnitude of covariance depends on units, it is not always easy to interpret directly. Even so, it is a highly important concept at the intersection of linear algebra and statistics. Methods such as PCA are built on understanding covariance structure.