Definition of "covariance"
(statistics) A statistical measure defined as Cov ( X , Y ) = E ( ( X − μ ) ( Y − ν ) ) given two real-valued random variables X and Y, with expected values E ( X ) = μ and E ( Y ) = ν .
Quotations
The covariance of X and Y is the expected value of the product of two random variables, X − E(X) and Y − E(Y). […] If two random variables tend to act like opposites, one is high when the other is low and vice versa, then the covariance will be negative. If two random variables tend to be high and low at the same time, then the covariance will be positive. In fact, the covariance measures the extent of a linear relationship between the two random variables.
2005, Steven J. Janke, Frederick Tinsley, Introduction to Linear Models and Statistical Inference, Wiley, page 133