∀ {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {Y : Ω → ℝ} {μ : MeasureTheory.Measure Ω} {ι : Type u_2} {X : ι → Ω → ℝ}
  {s : Finset ι} [MeasureTheory.IsFiniteMeasure μ],
  (∀ i ∈ s, MeasureTheory.MemLp (X i) 2 μ) →
    MeasureTheory.MemLp Y 2 μ →
      ProbabilityTheory.covariance Y (fun ω => ∑ i ∈ s, X i ω) μ = ∑ i ∈ s, ProbabilityTheory.covariance Y (X i) μ