# Sample Covariance

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• Sample Covariance

### Sample Covariance

Just as Sample Mean for the estimation of returns, the method of using sample data’s covariance within the estimation window for estimation is called sample covariance.

### Math Form

$$\Sigma = (\Sigma_{ij})$$

$$\Sigma_{ij} = \frac{1}{m-1} \sum_{k=1}^m(r_{ik}-r_i)(r_{jk}-r_j)$$

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