举个简单的例子：
A = 1,2,3
B = 4,5,6
先从协方差的定义出发：
Cov(A,B) = ∑i (Ai-μa)(Bi-μb)/n
显然 μa = 2，μb＝5
Cov(A,B)＝[(1-2)(4-5) + (2-2)(5-5) + (3-2)(6-5)] / 3＝2/3
协方差还有一个常用的公式：
Cov(A,B) = E(AB) - E(A)E(B)
E(AB) ＝
(1)(4) + (1)(5) + (1)(6) +
(2)(4) + (2)(5) + (2)(6) +
(3)(4) + (3)(5) + (3)(6)
÷ 9
= 10
Cov(A,B) = 10 - (2)(5) = 0
请大神指教，谢谢大家~
A = 1,2,3
B = 4,5,6
先从协方差的定义出发：
Cov(A,B) = ∑i (Ai-μa)(Bi-μb)/n
显然 μa = 2，μb＝5
Cov(A,B)＝[(1-2)(4-5) + (2-2)(5-5) + (3-2)(6-5)] / 3＝2/3
协方差还有一个常用的公式：
Cov(A,B) = E(AB) - E(A)E(B)
E(AB) ＝
(1)(4) + (1)(5) + (1)(6) +
(2)(4) + (2)(5) + (2)(6) +
(3)(4) + (3)(5) + (3)(6)
÷ 9
= 10
Cov(A,B) = 10 - (2)(5) = 0
请大神指教，谢谢大家~
Gimme
