Covariance, in probability theory and statistics, is a measure of the joint variability of two random variables. The sign of the covariance shows the tendency in the linear relationship between the variables. 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.
Harp-DAAL supports distributed modes of Covariance for both of dense and sparse (CSR format) input data.
Algorithmic details from Intel DAAL are found here