ABSTRACT
Covariance is one of simplest measures of dependency between two r.v.’s. Let X1,X2 be r.v.’s, and mi = E{Xi}, i = 1,2. We call the covariance between X1,X2 the quantity
Cov{X1,X2}= E{(X1−m1)(X2−m2)}. (1.1.1) In particular,
If m1 = m2 = 0, then Cov{X1,X2}= E{X1X2}. (1.1.2)
Note also that, setting X1 = X2 = X , and m = E{X}, we have Cov{X , X}= E{(X −m)2}=Var{X}.
