### 方差(Variance)

Investopedia 摘抄的定义:

The variance measures how far each number in the set is from the mean.

$$\delta^2 = \frac{\sum (X - \mu)^2}{N}$$

### 标准差(Standard Deviation)

Quote from Investopedia:

Standard deviation is a measure of the dispersion of a set of data from its mean.

$$\delta = \sqrt {\frac{\sum (X - \mu)^2}{N}}$$

### 协方差(Covariance)

$$\delta^2 = \frac{\sum (X - \mu)(X - \mu)}{N}$$

$$Cov(X,Y) = \frac{\sum (X - \mu_{X})(Y - \mu_{Y})}{N}$$

$$C = \begin{bmatrix} Cov(X,X) & Cov(X,Y) & Cov(X,Z) \\ Cov(Y,X) & Cov(Y,Y) & Cov(Y,Z) \\ Cov(Z,X) & Cov(Z,Y) & Cov(Z,Z) \end{bmatrix}$$

### 相关系数(Correlation coefficient)

$$\rho = \frac{Cov(X,Y)}{\delta_{X}\delta_{Y}}$$

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