Some Basic facts
Variance of linear combination of random variables
var(a x + b y)= a^2 var(x) + b^2 var(y) + 2 a b cov(x,y)
Easier if using matrix representation :
(B.1) var ( mí X)= mí Cov(X) m
here m is a p-vector, X consists of p random variables (x_1, Ö,x_p)í
From (B.1), it follows that