Developer Guide for Intel® Data Analytics Acceleration Library 2016 Update 4
Variance-covariance and correlation matrices are among the most important quantitative measures of a data set that characterize statistical relationships involving dependence.
Specifically, the covariance measures the extent to which variables "fluctuate together" (that is, co-vary). The correlation is the covariance normalized to be between -1 and +1. A positive correlation indicates the extent to which variables increase or decrease simultaneously. A negative correlation indicates the extent to which one variable increases while the other one decreases. Values close to +1 and -1 indicate a high degree of linear dependence between variables.