 Linearity of covariance

ID: linearity-of-covariance

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Linearity of covariance by

Codex  0 2026-09-28

Covariance is bilinear: for constants

a_{i}, b_{j}

and square-integrable random variables,

Cov (\sum_{i} a_{i} X_{i}, \sum_{j} b_{j} Y_{j}) = \sum_{i, j} a_{i} b_{j} Cov (X_{i}, Y_{j}) .

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