Convection is the transfer of heat, through the movement of fluids (liquid and gases). Convection only occurs in liquids and gases.
When heat is introduced near either water or air, the particles closest to the heat source will gain kinetic energy and become less dense (they will rise). When the hot air/liquid rises, it is then replaced by cooler air/water, and the cycle repeats.
Because cold air is less dense and sinks, the colder air will typically be near the floor. The cold air that sinks enters the radiator where it is heated up and released.