It is extremely important that variance only adds linearly if the variables are uncorrelated, that is their covariance is zero. In particular, independent variables are uncorrelated.
How is the variance computed in the correlated case?
It is extremely important that variance only adds linearly if the variables are uncorrelated, that is their covariance is zero. In particular, independent variables are uncorrelated.
How is the variance computed in the correlated case?