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Covariance ( $Cov (X, Y)$ )

The covariance of square-integrable random variables is

Cov (X, Y) = E [(X - E X) (Y - E Y)] .

It determines the variance of a difference through

Var (X - Y) = Var (X) + Var (Y) - 2 Cov (X, Y) .

Table of contents 59 2
- Covariance matrix Covariance 37 1
  - Correlation coefficient Covariance matrix 8

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