Why is the following true for the covariance c o v ( X , Y ) and variance

Amber Quinn

Amber Quinn

Answered question

2022-06-15

Why is the following true for the covariance c o v ( X , Y ) and variances V a r ( X ) , V a r ( Y ) of two rvs X and Y:
C o v ( c X , Y ) V a r ( c X ) V a r ( Y ) = c C o v ( X , Y ) c 2 V a r ( X ) V a r ( Y ) = C o v ( X , Y ) V a r ( X ) V a r ( Y )

Answer & Explanation

candelo6a

candelo6a

Beginner2022-06-16Added 24 answers

Step 1
Recall that a b = a b . Then,
c C o v ( X , Y ) c 2 V a r ( X ) V a r ( Y ) = c C o v ( X , Y ) c 2 V a r ( X ) V a r ( Y ) = c C o v ( X , Y ) | c | V a r ( X ) V a r ( Y ) = s g n ( c ) C o v ( X , Y ) V a r ( X ) V a r ( Y )

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