Covariance is a statistical measure that indicates the direction of the linear relationship between two random variables. It tells us whether, when one variable increases, the other tends to increase or decrease. Think of it as a way to capture whether two quantities move in unison or in opposite directions.
For example, if we observe the height and weight of a group of people, we expect a positive covariance – taller people generally weigh more. Conversely, if we look at a car's speed and stopping distance, the covariance is positive (higher speed → longer stopping distance). If we compare outdoor temperature and heating bills, the covariance is negative – the colder it gets, the higher the bills.