Law of Total Covariance
$$\operatorname{Cov}(X,Y)=E[\operatorname{Cov}(X,Y\mid Z)]+\operatorname{Cov}(E[X\mid Z],E[Y\mid Z])$$
Usage
- Used to decompose covariance using conditioning.
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Probability
Law of Total Covariance
Law of Total Covariance
$$\operatorname{Cov}(X,Y)=E[\operatorname{Cov}(X,Y\mid Z)]+\operatorname{Cov}(E[X\mid Z],E[Y\mid Z])$$
Usage
- Used to decompose covariance using conditioning.
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