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• Covariances:

  • Note: E(X) = E(Y) = 0

  • X,X = Var(X) = E(X^2) = (1.21 + 0.01 + 1.0)/3 = 2.22/3 = 0.74

  • Y,Y = Var(Y) = E(Y^2) = (1.0 + 0.0 + 1.0)/3 = 2/3 = 0.67

  • X,Y = E(XY) = (1.1 + 0.0 + 1.0)/3 = 2.1/3 = 0.7

• Covariance Matrix:

  • 0.74, 0.7

  • 0.7, 0.67

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Slide 7 of 15

15 Oct 1998

lm@bitmover.com