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Why sample covariance also divides by n − 1

The sample covariance of paired data (Xi,Yi)(X_i, Y_i) is defined with the same n1n - 1 divisor as the variance:

Cov^=1n1i=1n(XiXˉ)(YiYˉ).\widehat{\operatorname{Cov}} = \frac{1}{n-1}\sum_{i=1}^n (X_i - \bar X)(Y_i - \bar Y).

Prove that E[i(XiXˉ)(YiYˉ)]=(n1)Cov(X,Y)\mathbb{E}\left[\sum_i (X_i - \bar X)(Y_i - \bar Y)\right] = (n-1)\operatorname{Cov}(X, Y), so the divisor is right.

Show a hint

Expand (XiXˉ)(YiYˉ)=XiYinXˉYˉ\sum (X_i - \bar X)(Y_i - \bar Y) = \sum X_i Y_i - n\bar X \bar Y and take expectations, using that observations are independent across ii.

Your answer

This one is open-ended. Work it through, then check your reasoning against the full solution.

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