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Math Help - Covariances

  1. #1
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    Covariances

    Let X1, X2, Y1 and Y2 be random variables.
    (a) Show that Cov(X1 +X2, Y1 +Y2) = Cov(X1, Y1)+Cov(X1, Y2)+
    Cov(X2, Y1) + Cov(X2, Y2)


    Please walk me through how to solve the question.
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  2. #2
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    Quote Originally Posted by loveandpeace View Post
    Let X1, X2, Y1 and Y2 be random variables.
    (a) Show that Cov(X1 +X2, Y1 +Y2) = Cov(X1, Y1)+Cov(X1, Y2)+
    Cov(X2, Y1) + Cov(X2, Y2)


    Please walk me through how to solve the question.
    I'd start by letting U = X1 + X2 and W = Y1 + Y2 and then use the usual definition to find Cov(U, V).
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