Math — Correlation & Covariance

\operatorname{cov}(X,Y) = E[(X-\mu_X)(Y-\mu_Y)]

r = \frac{\operatorname{cov}(X,Y)}{\sigma_X \sigma_Y}

-1 \leq r \leq 1

r_s = 1 - \frac{6\sum d_i^2}{n(n^2-1)}