For random variables with finite second moments, their covariance is
(1)
The Cauchy-Schwarz inequality ensures the product is integrable. Expand and use linearity of expectation:
(2)
The same identity holds whenever the quantities involved exist with sufficient integrability.

Ancestors (11)

  1. 5
  2. Mathematics III resit
  3. Prelims
  4. Undated
  5. Past exam of the mathematics course of the University of Oxford
  6. Mathematics course of the University of Oxford
  7. Undergraduate course of the University of Oxford
  8. Course of the University of Oxford
  9. University of Oxford
  10. List of universities
  11. Home

View article source

Discussion (0)

New discussion

There are no discussions about this article yet.

Articles by others on the same topic (0)

There are currently no matching articles.
See all articles in the same topic Create my own version