Covariance (disambiguation)

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In mathematics and physics, covariance is a measure of how much two variables change together, and may refer to:

Mathematics Field of study concerning quantity, patterns and change

Mathematics includes the study of such topics as quantity, structure (algebra), space (geometry), and change. It has no generally accepted definition.

Physics Study of the fundamental properties of matter and energy

Physics is the natural science that studies matter, its motion and behavior through space and time, and that studies the related entities of energy and force. Physics is one of the most fundamental scientific disciplines, and its main goal is to understand how the universe behaves.

In probability theory and statistics, covariance is a measure of the joint variability of two random variables. If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the lesser values,, the covariance is positive. In the opposite case, when the greater values of one variable mainly correspond to the lesser values of the other,, the covariance is negative. The sign of the covariance therefore shows the tendency in the linear relationship between the variables. The magnitude of the covariance is not easy to interpret because it is not normalized and hence depends on the magnitudes of the variables. The normalized version of the covariance, the correlation coefficient, however, shows by its magnitude the strength of the linear relation.

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Statistics

Covariance matrix measure of covariance of components of a random vector

In probability theory and statistics, a covariance matrix, also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix, is a matrix whose element in the i, j position is the covariance between the i-th and j-th elements of a random vector. A random vector is a random variable with multiple dimensions. Each element of the vector is a scalar random variable. Each element has either a finite number of observed empirical values or a finite or infinite number of potential values. The potential values are specified by a theoretical joint probability distribution.

In probability and statistics, given two stochastic processes and , the cross-covariance is a function that gives the covariance of one process with the other at pairs of time points. With the usual notation ; for the expectation operator, if the processes have the mean functions and , then the cross-covariance is given by

In probability theory and statistics, given a stochastic process, the autocovariance is a function that gives the covariance of the process with itself at pairs of time points. Autocovariance is closely related to the autocorrelation of the process in question.

Algebra and geometry

In invariant theory, a branch of algebra, given a group G, a covariant is a G-equivariant polynomial map between linear representations V, W of G. It is a generalization of a classical convariant, which is a homogeneous polynomial map from the space of binary m-forms to the space of binary p-forms that is -equivariant.

Covariance and contravariance of vectors Manner in which a geometric object varies with a change of basis

In multilinear algebra and tensor analysis, covariance and contravariance describe how the quantitative description of certain geometric or physical entities changes with a change of basis.

Covariant transformation

In physics, a covariant transformation is a rule that specifies how certain entities, such as vectors or tensors, change under a change of basis. The transformation that describes the new basis vectors as a linear combination of the old basis vectors is defined as a covariant transformation. Conventionally, indices identifying the basis vectors are placed as lower indices and so are all entities that transform in the same way. The inverse of a covariant transformation is a contravariant transformation. Whenever a vector should be invariant under a change of basis, that is to say it should represent the same geometrical or physical object having the same magnitude and direction as before, its components must transform according to the contravariant rule. Conventionally, indices identifying the components of a vector are placed as upper indices and so are all indices of entities that transform in the same way. The sum over pairwise matching indices of a product with the same lower and upper indices are invariant under a transformation.

Computer science

Many programming language type systems support subtyping. Variance refers to how subtyping between more complex types relates to subtyping between their components.

See also

In probability theory and statistics, the mathematical concepts of covariance and correlation are very similar. Both describe the degree to which two random variables or sets of random variables tend to deviate from their expected values in similar ways.

Related Research Articles

In mathematics, specifically category theory, a functor is a map between categories. Functors were first considered in algebraic topology, where algebraic objects are associated to topological spaces, and maps between these algebraic objects are associated to continuous maps between spaces. Nowadays, functors are used throughout modern mathematics to relate various categories. Thus, functors are important in all areas within mathematics to which category theory is applied.

Tensor Algebraic object with geometric applications

In mathematics, a tensor is an algebraic object that describes a linear mapping from one set of algebraic objects to another. Objects that tensors may map between include, but are not limited to, vectors and scalars, and, recursively, even other tensors. Tensors are inherently related to vector spaces and their dual spaces, and can take several different forms – for example: a scalar, a vector, a dual vector at a point, or a multi-linear map between vector spaces. Euclidean vectors and scalars are the simplest tensors. While tensors are defined independent of any basis, the literature on physics often refers to them by their components in a basis related to a particular coordinate system.

Charge, parity, and time reversal symmetry is a fundamental symmetry of physical laws under the simultaneous transformations of charge conjugation (C), parity transformation (P), and time reversal (T). CPT is the only combination of C, P, and T that is observed to be an exact symmetry of nature at the fundamental level. The CPT theorem says that CPT symmetry holds for all physical phenomena, or more precisely, that any Lorentz invariant local quantum field theory with a Hermitian Hamiltonian must have CPT symmetry.

In mathematics, especially in applications of linear algebra to physics, the Einstein notation or Einstein summation convention is a notational convention that implies summation over a set of indexed terms in a formula, thus achieving notational brevity. As part of mathematics it is a notational subset of Ricci calculus; however, it is often used in applications in physics that do not distinguish between tangent and cotangent spaces. It was introduced to physics by Albert Einstein in 1916.

Minkowski space mathematical space setting which eases explanation of special relativity

In mathematical physics, Minkowski space is a combination of three-dimensional Euclidean space and time into a four-dimensional manifold where the spacetime interval between any two events is independent of the inertial frame of reference in which they are recorded. Although initially developed by mathematician Hermann Minkowski for Maxwell's equations of electromagnetism, the mathematical structure of Minkowski spacetime was shown to be an immediate consequence of the postulates of special relativity.

In relativistic physics, Lorentz symmetry, named after Hendrik Lorentz, is an equivalence of observation or observational symmetry due to special relativity implying that the laws of physics stay the same for all observers that are moving with respect to one another within an inertial frame. It has also been described as "the feature of nature that says experimental results are independent of the orientation or the boost velocity of the laboratory through space".

In theoretical physics, general covariance, also known as diffeomorphism covariance or general invariance, consists of the invariance of the form of physical laws under arbitrary differentiable coordinate transformations. The essential idea is that coordinates do not exist a priori in nature, but are only artifices used in describing nature, and hence should play no role in the formulation of fundamental physical laws.

Invariant (mathematics) property of mathematical objects that remains unchanged for transformations applied to the objects

In mathematics, an invariant is a property, held by a class of mathematical objects, which remains unchanged when transformations of a certain type are applied to the objects. The particular class of objects and type of transformations are usually indicated by the context in which the term is used. For example, the area of a triangle is an invariant with respect to isometries of the Euclidean plane. The phrases "invariant under" and "invariant to" a transformation are both used. More generally, an invariant with respect to an equivalence relation is a property that is constant on each equivalence class.

In mathematics and theoretical physics, an invariant is a property of a system which remains unchanged under some transformation.

Mathematics of general relativity

The mathematics of general relativity refers to various mathematical structures and techniques that are used in studying and formulating Albert Einstein's theory of general relativity. The main tools used in this geometrical theory of gravitation are tensor fields defined on a Lorentzian manifold representing spacetime. This article is a general description of the mathematics of general relativity.

In general relativity, the hole argument is an apparent paradox that much troubled Albert Einstein while developing his famous field equations.

Symmetry (physics) a physical systems feature that remains unchanged (invariant) under some transformation(s)

In physics, a symmetry of a physical system is a physical or mathematical feature of the system that is preserved or remains unchanged under some transformation.

In physics, the principle of covariance emphasizes formulation of physical laws using only those physical quantities the measurements of which the observers in different frames of reference could unambiguously correlate.

In physics, event symmetry includes invariance principles that have been used in some discrete approaches to quantum gravity where the diffeomorphism invariance of general relativity can be extended to a covariance under every permutation of spacetime events.

Light front quantization Technique in computational quantum field theory

The light-front quantization of quantum field theories provides a useful alternative to ordinary equal-time quantization. In particular, it can lead to a relativistic description of bound systems in terms of quantum-mechanical wave functions. The quantization is based on the choice of light-front coordinates, where plays the role of time and the corresponding spatial coordinate is . Here, is the ordinary time, is one Cartesian coordinate, and is the speed of light. The other two Cartesian coordinates, and , are untouched and often called transverse or perpendicular, denoted by symbols of the type . The choice of the frame of reference where the time and -axis are defined can be left unspecified in an exactly soluble relativistic theory, but in practical calculations some choices may be more suitable than others.

Covariance group

In physics, a covariance group is a group of coordinate transformations between frames of reference. A frame of reference provides a set of coordinates for an observer moving with that frame to make measurements and define physical quantities. The covariance principle states the laws of physics should transform from one frame to another covariantly, that is, according to a representation of the covariance group.

Gauge theory Physical theory with fields invariant under the action of local "gauge" Lie groups

In physics, a gauge theory is a type of field theory in which the Lagrangian is invariant under certain Lie groups of local transformations.