Big Brackets not working

As @user240002 pointed out in a comment, "big" delimiters aren't necessarily big: they merely scale to match their content. If the content doesn't have a lot of height (or depth), they won't scale.

You can override the default sizes using big, Big, bigg and Bigg; for left and right delimiters it's best to use bigl and bigr (entirely analogous variants exist for the rest of the bunch, and if you happen to need something in the middle there's also bigm).

The downside is that the size won't automatically adjust anymore, of course. So instead, you can also force brackets to be larger: add a strut to force a certain minimum height/depth, or use a vphantom{...}. I recommend experimenting here, not just to solve the immediate problem but also to learn a new trick or two that'll surely come in handy in the future.

A few other tips:

• It's recommended that instead of $$ ... $$, you use [ ... ] in LaTeX; see Why is [ ... ] preferable to $$ ... $$? (that, or use a named environment like equation).
• statmath is a useful package that has shortcut commands for a number of things you'll need for statistics, including cov and E.
• If you want to roll your own (e.g. because you prefer an uppercase Cov), it's recommended to use DeclareMathOperator from amsmath; see Define additional math operators to be typeset in roman .
• If you want to use italics there, or otherwise need them for multi-letter variable names, use mathit, i.e. mathit{Cov} instead of Cov; that'll give you better spacing.

That's all I have.