Suppose that X and Y are independent n-dimensional random vectors for which the covariance matrices Cov(X) and

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Suppose that X and Y are independent n-dimensional random vectors for which the covariance matrices Cov(X) and Cov(Y) exist. Show that Cov(X + Y) = Cov(X) + Cov(Y).

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Probability And Statistics

ISBN: 9780321500465

4th Edition

Authors: Morris H. DeGroot, Mark J. Schervish

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Question Posted: Nov 25, 2015 02:49 AM

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Suppose that X and Y are independent n-dimensional random vectors for which the covariance matrices Cov(X) and

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The element in row i and column j of the n n matrix Cov X Y i...View the full answer

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