Hello
I would be grateful for some assistance in checking the accuracy of a formula relating to the calculation of covariance. The formula is as follows:
Cov(X_1+X_2+....X_m, Y_1+Y_2+...Y_n) = mnCov(X,Y)
where X_1, X_2,....X_m, Y_1, Y_2,...Y_n are all vectors representative of different measurements taken on the same sample, m and n are strictly positive natural numbers and Cov(X,Y) denotes the covariance between the members of all 'X' vectors and the members of all 'Y' vectors.
A relevant literature reference would be appreciated here.
Many thanks
Best wishes
Margaret
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