Covariance

Measures the variance of two data series around their mean values.

$Covar(X,Y)=\frac{1}{N}\sum_i{(X_i-\bar{X})(Y_i-\bar{Y})}$

where $\bar{X}=\frac{1}{N}*\sum_i{X_i}$

The covariance can be computed incrementally:

$Covar(X)=\bar{X*Y} - (\bar{X}*\bar{Y})$

Thus, we sum all $X_i$ , $Y_i$ and all products $X_i*Y_i$ , then build the difference of their mean values.