Question: Suppose that X1, . . . , Xm and Y1, . . . , Yn are random variables such that Cov(Xi, Yj) exists for i

Suppose that X1, . . . , Xm and Y1, . . . , Yn are random variables such that Cov(Xi, Yj) exists for i = 1, . . . , m and j = 1, . . . , n, and suppose that a1, . . . , am and b1, . . . , bn are constants. Show that

(5-) . b -by Cov(X, Yp . Cov i-l j-1 j-1

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