List questions from covariance

Published on 28 Mar 2026 - 6:40

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Why is the covariance of an Ornstein-Uhlenbeck process symmetric and positive semi-definite?

Published on 30 Mar 2026 - 4:44

211

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Covariance of a Portfolio with a Stock in that Portfolio

Published on 28 Mar 2026 - 8:09

126

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Covariance between integral of brownian motion and brownian motion

Published on 23 Mar 2026 - 4:15

332

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Show that $\text{Cov}(X,Y)=(\text{Cov}(Y,X))^T$

Published on 11 May 2021 - 12:22

28

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Show that $\text{Cov}(\mu_X+X,\mu_Y+Y)=\text{Cov}(X,Y)$

Published on 11 May 2021 - 12:42

36

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Finding autocorrelation function

Published on 11 May 2021 - 21:34

45

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Show that $\frac{\sum^k_{i=1}\text{Var}(Y_i)}{\sum^p_{i=1}\text{Var}(X_i)}=\frac{\sum^k_{i=1}\lambda_i}{\sum^p_{i=1}\lambda_i}$

Published on 26 Mar 2026 - 11:18

25

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Show that $\text{Cov}(AY)=A\text{Cov}(Y)A^T$

Published on 13 May 2021 - 9:21

22

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Show that $\text{Cov}(AX_1+BX_2,Y)=A\text{Cov}(X_1,Y)+B\text{Cov}(X_2,Y)$

Published on 13 May 2021 - 18:43

105

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Is the joint distribution of $(X_1,X_2)$ multivariate Normal?

Published on 15 May 2021 - 13:19

76

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Does $Cov(X, Z)\neq 0$ and $Cov(X, Y)\neq 0$ give $Cov(Z, Y)\neq 0$?

Published on 17 May 2021 - 12:40

483

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Find the distribution of $X+Y+Z$

Published on 18 May 2021 - 4:10

68

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Covariance matrix in PCA approach

Published on 26 Mar 2026 - 6:33

64

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A puzzle involving independence of two random variables

Published on 20 May 2021 - 19:24

List Question

Variance of return of a portfolio of stocks

Why is the covariance of an Ornstein-Uhlenbeck process symmetric and positive semi-definite?

Covariance of a Portfolio with a Stock in that Portfolio

Covariance between integral of brownian motion and brownian motion

Show that $\text{Cov}(X,Y)=(\text{Cov}(Y,X))^T$

Show that $\text{Cov}(\mu_X+X,\mu_Y+Y)=\text{Cov}(X,Y)$

Finding autocorrelation function

Show that $\frac{\sum^k_{i=1}\text{Var}(Y_i)}{\sum^p_{i=1}\text{Var}(X_i)}=\frac{\sum^k_{i=1}\lambda_i}{\sum^p_{i=1}\lambda_i}$

Show that $\text{Cov}(AY)=A\text{Cov}(Y)A^T$

Show that $\text{Cov}(AX_1+BX_2,Y)=A\text{Cov}(X_1,Y)+B\text{Cov}(X_2,Y)$

Is the joint distribution of $(X_1,X_2)$ multivariate Normal?

Does $Cov(X, Z)\neq 0$ and $Cov(X, Y)\neq 0$ give $Cov(Z, Y)\neq 0$?

Find the distribution of $X+Y+Z$

Covariance matrix in PCA approach

A puzzle involving independence of two random variables

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