Moments

$E X, E Y$ mean values of random variables or vectors $X$ and $Y$ [*]
$\sigma_{XY}=\mathop{\mathit{Cov}}(X,Y)$ covariance between random variables $X$ and $Y$ [*]
$\sigma_{XX}=\mathop{\mathit{Var}}(X)$ variance of random variable $X$ [*]
$\rho_{XY}=\displaystyle \frac{\displaystyle \mathop{\mathit{Cov}}(X,Y)}{\sqrt{\displaystyle \mathop{\mathit{Var}}(X)\mathop{\mathit{Var}}(Y)}}$ correlation between random variables $X$ and $Y$ [*]
$\Sigma_{XY}=\Cov(X,Y)$ covariance between random vectors $X$ and $Y$, i.e., $\Cov(X,Y) = E (X- E X)(Y- E Y)^\top$  
$\Sigma_{XX}=\Var(X)$ covariance matrix of the random vector $X$