Engineering Analysis/Correlation

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Independence[edit | edit source]

Two random variables are called independent if changes in one do not affect, and are not affected by, changes in the other.

Correlation[edit | edit source]

Two random variables are said to have correlation if they take the same values, or similar values, at the same point in time. Independence implies that two random variables will be uncorrelated, but two random variables being uncorrelated does not imply that they are independent.