The covariance between two jointly distributed real-valued random variables X and Y with finite second moments is defined as the expected product of their deviations from their individual expected values:
where E[X] is the expected value of X.
en.wikipedia.org/wiki/Covariance
Covariance measures how much two random variables vary together in a population.
Yitong Ren - «The significance and applications of covariance matrix» (2019-05-01)