Covariance¶

Definition¶

\[\mathrm{cov}(X,Y)=\mathbb{E}\left[(X-\mathbb{E}[X])(Y-\mathbb{E}[Y])\right]\]

\[\mathrm{cov}(X,X)=\mathrm{var}(X)\]

\[\mathrm{cov}(X,Y)=\mathbb{E}[XY]-\mathbb{E}[X]\mathbb{E}[Y]\]

Draft

This page is a partial draft — explanatory prose and examples are planned but not yet written.