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A measure of the degree of association among a pair of variables.

2 votes

Multiple Linear Regression and Correlation of two beta estimates

From there, you can compute the correlation between $\hat\beta_1$ and $\hat\beta_3$ by standardizing appropriately, using the variances of $\hat\beta_1$ and $\hat\beta_3$, which you get from the elements …
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1 vote

Covariance matrix for multivariate normal random variable

You can write $Y$ as $$ Y = WX $$ where $$W = \begin{pmatrix}1 &0&0&1\\0&1&0&-1\end{pmatrix}.$$ Then, $$\text{cov}(Y)=W\text{cov}(X)W'.$$
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