由于随机变量X1,X2,…,Xn(n>1)独立同分布,
于是可得:
COV(X,Y)=COV(X1,
1 n
Xi)=n
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i=1
COV(X1,1 n
Xi)=n
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i=1
1 n
COV(X1,Xi)n
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i=1
=
COV(X1,X1)=1 n
D(X1)=1 n
σ2.1 n
故答案选:C.