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Computes the covariance between two columns using the sample method. Source values can be of Integer or Decimal type.

Covariance measures the joint variation between two sets of values. The sign of the covariance tends to show the linear relationship between the two datasets; positive covariance indicates that the numbers tend to increase with each other. 

  • The magnitude of the covariance is difficult to interpret, as it varies with the size of the source values. 
  • The normalized version of covariance is the correlation coefficient, in which covariance is normalized between -1 and 1. For more information, see CORREL Function.

 Terms...

Relevant terms:

Term Description
Population Population statistical functions are computed from all possible values. See https://en.wikipedia.org/wiki/Statistical_population.
Sample

Sample-based statistical functions are computed from a subset or sample of all values. See https://en.wikipedia.org/wiki/Sampling_(statistics).

These function names include SAMP in their name.

NOTE: Statistical sampling has no relationship to the samples taken within the product. When statistical functions are computed during job execution, they are applied across the entire dataset. Sample method calculations are computed at that time.

Wrangle vs. SQL: This function is part of Wrangle , a proprietary data transformation language. Wrangle is not SQL. For more information, see Wrangle Language.

Basic Usage

covarsamp(squareFootage,purchasePrice)

Output: Returns the covariance using the sample method between the values in the squareFootage column and the purchasePrice column.

Syntax and Arguments

covarsamp(function_col_ref1,function_col_ref2) [group:group_col_ref] [limit:limit_count]


ArgumentRequired?Data TypeDescription
function_col_ref1YstringName of column that is the first input to the function
function_col_ref2YstringName of column that is the second input to the function

For more information on the group and limit parameters, see Pivot Transform.

For more information on syntax standards, see Language Documentation Syntax Notes.

function_col_ref1, function_col_ref2

Name of the column the values of which you want to calculate the covariance. Column must contain Integer or Decimal values.

  • Literal values are not supported as inputs.
  • Multiple columns and wildcards are not supported.

Usage Notes:

Required?Data TypeExample Value
YesString (column reference)myInputs


Examples

Tip: For additional examples, see Common Tasks.

This example illustrates the following two-column statistical functions:
  • CORREL - Correlation co-efficient between two columns. See CORREL Function.
  • COVAR - Calculates the covariance between two columns. See COVAR Function.
  • COVARSAMP - Calculates the covariance between two columns using the sample population method. See COVARSAMP Function.

Source:

The following table contains height in inches and weight in pounds for a set of students.

StudentheightInweightLbs
170134
267135
367147
467160
572136
673146
771135
863145
967138
1066138
1171161
1270131
1374131
1467157
1573161
1670133
1763132
1864153
1964156
2072154


Transformation:

You can use the following transformations to calculate the correlation co-efficient, the covariance, and the sampling method covariance between the two data columns:

Transformation Name New formula
Parameter: Formula type Single row formula
Parameter: Formula round(correl(heightIn, weightLbs), 3)
Parameter: New column name 'corrHeightAndWeight'

Transformation Name New formula
Parameter: Formula type Single row formula
Parameter: Formula round(covar(heightIn, weightLbs), 3)
Parameter: New column name 'covarHeightAndWeight'

Transformation Name New formula
Parameter: Formula type Single row formula
Parameter: Formula round(covarsamp(heightIn, weightLbs), 3)
Parameter: New column name 'covarHeightAndWeight-Sample'

Results:

StudentheightInweightLbscovarHeightAndWeight-SamplecovarHeightAndWeightcorrHeightAndWeight
170134-2.876-2.732-0.074
267135-2.876-2.732-0.074
367147-2.876-2.732-0.074
467160-2.876-2.732-0.074
572136-2.876-2.732-0.074
673146-2.876-2.732-0.074
771135-2.876-2.732-0.074
863145-2.876-2.732-0.074
967138-2.876-2.732-0.074
1066138-2.876-2.732-0.074
1171161-2.876-2.732-0.074
1270131-2.876-2.732-0.074
1374131-2.876-2.732-0.074
1467157-2.876-2.732-0.074
1573161-2.876-2.732-0.074
1670133-2.876-2.732-0.074
1763132-2.876-2.732-0.074
1864153-2.876-2.732-0.074
1964156-2.876-2.732-0.074
2072154-2.876-2.732-0.074

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