2. Covariance Linear

2. Covariance Linear - We are interested in the covariance...

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Covariance of Linear Functions Suppose that we are interested in two variables that are determined by linear functions. X = x + dA + eB + fC Y = y + gP + kQ + jR Variables are shown in upper case. Coefficients (parameters) are shown in lower case.
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Unformatted text preview: We are interested in the covariance between X and Y. σ XY = dg σ AP + dk σ AQ + dj σ AR + eg σ BP + ek σ BQ + ej σ BR + fg σ CP + fk σ CQ + fj σ CR...
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