** Expectation value ** or first moment of a random variable is the probability weighted sum of the possible values (weighted mean).

Expectation value of a 6-dice is 1+2+3+4+5+6 / 6 = 3.5

** Covariance ** of 2 random variables is:

` COV(X,Y)=E[(X-E(X))(Y-E(Y))]=E(X`

*Y) - E(X)E(Y) ** i.e. the difference between the expected value of their product and the product of their expected values. So if the variables change together, they will have a high covariance, if they are independent, their covariance is zero. *

**Variance**is the covariance on the same variable, :

` COV(X,X)=VAR(X)=E(X`**2) - E(X)**2

**Standard deviation**is the square root of Variance

**Correlation**is:

` COR(X,Y)=COV(X,Y)/STDEV(X)`

`STDEV(Y) `

http://mathworld.wolfram.com/Covariance.html