What is Var(X - Y)? We know that the formula for

Alan Smith

Alan Smith

Answered question

2022-01-14

What is Var(X - Y)?
We know that the formula for Var(X + Y) is Var(X) + Var(Y) + 2Cov(X,Y)
Does this mean that for Var(X - Y) it is just:
Var(X) - Var(Y) - 2Cov(X,Y)?

Answer & Explanation

enhebrevz

enhebrevz

Beginner2022-01-15Added 25 answers

Var(X)=E[X2]E[X]2
The definition of variance.
Var(XY)=E[(XY)2]E[XY]2E[X22XY+Y2]E[XY]2
Linearity of expectation:
E[X22XY+Y2]=E[X2]+E[Y2]2E[XY]andE[XY]=E[X]E[Y]
Var(XY)=E[X2]2E[XY]+E[Y2](E[X]22E[X]E[Y]+E[Y]2)E[X2]E[X]2+E[Y2]E[Y]22(E[XY]E[X]E[Y])
Now note that:
Cov(x,y)=E[(xE[x])](yE[y])]
=E[xy]E[xE[y]]E[y[E[x]]+E[x]E[y]
=E[xy]E[x]E[y]E[y]E[x]+E[x]E[y]
=E[xy]E[x]E[y]
Which immediately gives the result desired in terms of the covariance.
Marcus Herman

Marcus Herman

Beginner2022-01-16Added 41 answers

It will be Var(X)+Var(Y)−2Cov(X,Y), because Var(−Y)=Var(Y).

Do you have a similar question?

Recalculate according to your conditions!

New Questions in Upper level probability

Ask your question.
Get an expert answer.

Let our experts help you. Answer in as fast as 15 minutes.

Didn't find what you were looking for?