In this section, we have so far dealt with random variables or a vector of iid random variables. Now, let's suppose we have a random vector, , where the Xi values are all correlated.
Now, if we want to find the mean of X, we do so as follows:
If it exists, the covariance matrix is as follows:
Additionally, if we have , then and .
If we're dealing with two random vectors, then we have the following:
Now, let's ...