Computes the sample covariance between two numeric expressions. If either one of expressions is NULL - that input row is ignored. Use this when analyzing a sample rather than an entire population. For covariance of population see COVAR_POP.

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Covariance vs Correlation

Covariance and correlation both describe how two variables change together, but they do so in different ways:

  • Covariance measures the direction of the relationship between two variables:

    • Positive covariance: variables tend to increase together.
    • Negative covariance: one increases as the other decreases.
    • Its value is unbounded and depends on the units of the variables, making it hard to interpret on its own.

  • Correlation, specifically Pearson correlation, standardizes the relationship:

    • It is the normalized version of covariance, giving a unitless measure between -1 and 1.
    • This makes it easier to compare the strength of relationships between different pairs of variables.

For information on correlation see CORR

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Syntax

COVAR_SAMP(<expr1>, <expr2>)

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Parameters

ParameterDescriptionSupported input types
<expr1>First numeric expression to use for covariance computation.DOUBLE PRECISION
<expr2>Second numeric expression to use for covariance computation.DOUBLE PRECISION

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Return Type

COVAR_SAMP returns a result of type DOUBLE PRECISION.

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Example

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Examples

The code examples use PlayStats table from the sample UltraFast database.

Example

The CurrentLevel and CurrentScore variables are highly correlated

SELECT COVAR_SAMP(CurrentScore, CurrentLevel) FROM PlayStats

Returns

473291.6614849927

Example

But CurrentLevel and CurrentScore variables are not correlated at all

SELECT COVAR_SAMP(CurrentLevel, CurrentSpeed) FROM PlayStats

Returns

0.040317002824098884