Saturday, July 2, 2016

covariance cov(X,Y)

cov(X,Y) = E( (X -EX) (Y-EY)) = E(XY) - EX*EY

E( (X -EX) (Y-EY) )
  = E( XY - Y*EX - X * EY + EX*EY )
  = E(XY) - EY*EX - EX*EY + EX*EY
  = E(XY) - EX*EY
                            

http://mathworld.wolfram.com/Covariance.html

http://ocw.mit.edu/courses/mechanical-engineering/2-854-introduction-to-manufacturing-systems-fall-2010/lecture-notes/MIT2_854F10_covnotes.pdf

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