JorgeT
  • Member for 4 years, 3 months
  • Last seen more than 2 years ago
What is the standard deviation of the sum of THREE correlated random variables?
10 votes

The variance of the sum of three variables is given by $Var(aX+bY+cZ) = a^2Var(X) + b^2Var(Y) + c^2Var(Z) + 2abCov(X,Y) + 2acCov(X,Z) + 2bcCov(Y,Z)$

View answer