Question

Could someone explain how to expand covariance of sums to me? I'm given that cov[X+Y,Z] = cov[X,Z]+cov[Y,Z] .. assuming that is true, how do I do cov[X+Y, W+Z] for example?

Answer 1

left distribute:
cov[x+y,w+z]= cov[((x+y),w)+ (x+y)),z)]
then right distribute
=cov[(x,w)+(y,w)+(x,z)+(y,z)]
I think it is easy now

Answer 2

Ok thanks! So simple