Let $X, Y \in \text{Random}(\mathbb{R}^{N \times 1})$ each be a
D5210: Random real column matrix such that
| (i) |
\begin{equation}
\mathbb{E} |X|^2, \mathbb{E} |Y|^2
< \infty
\end{equation}
|
The
covariance of $(X, Y)$ is the
D4571: Real matrix
\begin{equation}
\mathbb{E} \left[ (X - \mathbb{E} X) (Y - \mathbb{E} Y)^T \right]
\end{equation}
