Definition of Covariance
Cov
(X,Y)=
E[(X-
m
X
)(Y –
m
Y
)]
Alternative Formula
Cov
(X,Y)= E(XY) – E(X)E(Y)
Variance of a Sum
Var
(X+Y)= Var (X) + Var (Y)+2 Cov (X,Y)
Claim:
Covariance is Bilinear
