Var(X) = Cov(X,X) ??
Var(X)=\sum_{i=1}^N P(X_i)(X_i-EX)^2.
Cov(X,Y) = \sum_{i=1}^N\sum_{j=1}^M P(X_i,Y_j)(X_i - EX)(Y_j - EY).
If, for instance, P(X_i) = 1/N and X = Y = (1,2,3), then
Var(X) = \frac{1}{3} ((1-2)^2 + (2-2)^2 + (3-2)^2) = \frac{2}{3},
but
Cov(X,X) = \sum_{i=1}^3 \sum_{j=1}^3...