Let $X, Y \in \text{Random}(\mathbb{R}^N)$ each be a
D4383: Random euclidean real number 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}
\begin{bmatrix}
\mathbb{E}[(X_1 - \mathbb{E} X_1) (Y_1 - \mathbb{E} Y_1)] & \mathbb{E}[(X_1 - \mathbb{E} X_1) (Y_2 - \mathbb{E} Y_2)] & \cdots & \mathbb{E}[(X_1 - \mathbb{E} X_1) (Y_N - \mathbb{E} Y_N)] \\
\mathbb{E}[(X_2 - \mathbb{E} X_2) (Y_1 - \mathbb{E} Y_1)] & \mathbb{E}[(X_2 - \mathbb{E} X_2) (Y_2 - \mathbb{E} Y_2)] & \vdots & \mathbb{E}[(X_2 - \mathbb{E} X_2) (Y_N - \mathbb{E} Y_N)] \\
\vdots & \cdots & \ddots & \vdots \\
\mathbb{E}[(X_N - \mathbb{E} X_N) (Y_1 - \mathbb{E} Y_1)] & \mathbb{E}[(X_N - \mathbb{E} X_N) (Y_2 - \mathbb{E} Y_2)] & \cdots & \mathbb{E}[(X_N - \mathbb{E} X_N) (Y_N - \mathbb{E} Y_N)]
\end{bmatrix}
\end{equation}