Variables: capitalized, and in italics, e.g., X
Values of variables: lower case, and in italics, e.g., X = x
Sets: capitalized, and in boldface, e.g., V
Values of sets of variables: lower case, and in boldface, e.g., V = v
Members of X that are not members of Y: XY
Error variables: 
Independence of X and Y: 
Independence of X and Y conditional on Z: 
X ∪ Y: XY
Covariance of X and Y: COV(X,Y) or 
Correlation of X and Y : 
Sample correlation of X and Y : 
Partial Correlation of X and Y,
controlling for all members of set Z: 