text: covariance between multiple random variables? i want to know that if we have multiple reponse variables and multiple predictor variables.we find covariance in-between predictor and in- between response variables?.do we have to find covariance between each pair of predictor/response varaible separately? also i cannot understand the difference between correlation and covariance? correlation: a measure of how much one random variable depends upon the other. covariance: a measure of how much the deviations of two or more variables or processes match.