Covariance

• How Is the Multivariate Gaussian Density Derived?
  Derive the multivariate Gaussian density by transforming a standard normal vector, and see how the covariance determinant and inverse enter the formula.
• How to Calculate E[XY] for Dependent Random Variables
  For dependent random variables, compute E[XY] from their joint distribution or use covariance; the marginal means alone are not enough.