Module 9Covariance & CorrelationLesson 4 of 820 min
Covariance
Aligned return series and sample covariance.
Formula
Cov(x,y) = 1/(n-1) * sum (x_i - mean_x)(y_i - mean_y)
Requirements
Same length, aligned timestamps (in real systems: join on time).
Challenge
Assert length mismatch panics — or return Result instead.
Tips
- zip pairs series
- n-1 sample cov
- Alignment is a data problem
Try it live
CovarianceRust 2021
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Output
Press Run to compile and execute.