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What is Covariance and Expectation of Random Vectors about?

1. A random vector is a vector of random variables. Its mean is the expected value of each element and its covariance matrix describes the variance of each element and covariance between elements. 2. The covariance matrix of a random vector X is defined element-wise as the covariance between pairs of elements in X. It is always symmetric and positive semi-definite. 3. The correlation matrix is the covariance matrix with the variances along the diagonal standardized to 1. It describes the correlation bet

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