Recall that expectation is defined as:
For a constant , we have
If we introduce another random variable :
Variance and Covariance Expectation Rules
In general:
and
For some constant :
A constant doesn’t vary, so the variance of a constant is zero. Adding a constant to a variable also doesn’t change its variance.
If we have two random variables and they are independent:
In general, if the variables are not independent: