Could someone please explain it to me what is the difference between Variance and Covariance?
"Variance" applies to a single random variable. "Covariance" applies to two or more related random variables.
Could you please give me an example?
Let X and Y be random variables.
var(X) = E(X2) - E(X)2
cov(XY) = E(XY) - E(X)E(Y)
E(..) means average.
Separate names with a comma.