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    1.13 Covariance: Definition

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    This document defines covariance and correlation between random variables. Covariance is a measure of how much two variables change together, while correlation indicates whether increases in one variable tend to be associated with increases or decreases in the other. The correlation coefficient quantifies the strength of this linear relationship between -1 and 1. It provides examples of how to calculate covariance and correlation coefficient from joint distributions or sample data. Videos and practice problems are also provided to further illustrate these concepts.

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    1.13 Covariance: Definition

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    39 views24 pages
    This document defines covariance and correlation between random variables. Covariance is a measure of how much two variables change together, while correlation indicates whether increases in one variable tend to be associated with increases or decreases in the other. The correlation coefficient quantifies the strength of this linear relationship between -1 and 1. It provides examples of how to calculate covariance and correlation coefficient from joint distributions or sample data. Videos and practice problems are also provided to further illustrate these concepts.

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    1.13

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    This document defines covariance and correlation between random variables. Covariance is a measure of how much two variables change together, while correlation indicates whether increases in one variable tend to be associated with increases or decreases in the other. The correlation coefficient quantifies the strength of this linear relationship between -1 and 1. It provides examples of how to calculate covariance and correlation coefficient from joint distributions or sample data. Videos and practice problems are also provided to further illustrate these concepts.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    39 views24 pages

    1.13 Covariance: Definition

    Uploaded by

    AN
    This document defines covariance and correlation between random variables. Covariance is a measure of how much two variables change together, while correlation indicates whether increases in one variable tend to be associated with increases or decreases in the other. The correlation coefficient quantifies the strength of this linear relationship between -1 and 1. It provides examples of how to calculate covariance and correlation coefficient from joint distributions or sample data. Videos and practice problems are also provided to further illustrate these concepts.

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    1.

    13 COVARIANCE
    Definition:

    If (X,Y) is a dimensional random variable with E(X) and E(Y) finite ,then the
    covariance of (X,Y) denoted by Cov (X,Y) is defined as

    Note:
    1. If X and Y are independent, then but the converse need
    not be true.
    2.
    3.
    1.13 CORRELATION
    Definition:
    In a bivariate distribution if the change in one variable affects a change in
    the other variable, the variables are said to be correlated.
    If the 2 variables deviate in the same direction, ie., if the increase (or
    decrease) in one variable results in corresponding increase (or decrease)
    in the other, correlation is said to e direct or positive. But if they constantly
    deviate in the opposite directions ie., if the increase (or decrease) in one
    variable results in corresponding decrease(or increase) in the other,
    correlation is said to be inverse or negative.
    Note:
    1. Covariance positive-positive correlation
    2. Covariance negative-negative correlation

    In the following link you can view a video that explains the Definition of
    Correlation
    https://drive.google.com/file/d/1ih-9219CERSvryDB-v3bQGnRBAuO-URj/vi
    ew?usp=sharing
    1.13 CORRELATION
    Definition:
    3. The closeness of relationship between two variables is not
    proportional to the correlation coefficient.
    Karl Pearson Coefficient of Correlation:

    It is a numerical measure of intensity or degree of linear relationship


    between two random variables.
    Correlation coefficient between two random variables X and Y denoted by
    or
    and is defined as,
    1.13 CORRELATION

    Properties:
    1. The correlation coefficient lies between -1 and 1 , i.e.
    2. Two independent random variables are uncorrelated if
    But the converse need not be true.
    3. The correlation coefficient is also denoted by
    1.13 CORRELATION
    Problems:

    1.Let X and Y be any two random variables and a, b be constants. Prove


    that
    Solution :
    1.13 CORRELATION
    Problems:

    2. If Y=-2X+3, find the


    Solution :
    3. Two random variables X and Y have joint PDF

    Find
    What can you infer from ?
    Solution:
    Given

    The marginal density function of X is


    The Marginal PDF of Y is given by
    Since X and Y are uncorrelated.

    4. If the independent random variables X and Y have variance 36 and 16


    respectively,find the correlation coefficient between (X+Y) and (X-Y).
    SOLUTION:
    Given Var(X)=36, Var(Y)=1
    Let U =X+Y ,V = X-Y

    E(U) = E(X+Y) = E(X)+E(Y)


    E(V) = E(X-Y)= E(X)-E(Y)
    E(UV) = E[(X+Y)(X-Y)]
    = E(X2- Y2)
    = E(X2)-E(Y2)
    5. Calculate the correlation coefficient for the following heights(in inches) of fathers
    X and their sons Y

    X 65 66 67 67 68 69 70 72
    Y 67 68 65 68 72 72 69 71
    SOLUTION:
    6. Two random variables X and Y have joint PDF

    Find Var(X) and Var(Y) and also find the correlation coefficient
    between X and Y.
    SOLUTION :
    The Marginal PDF of X is given by
    The Marginal PDF of Y is given by
    In the following links you can view the videos that explains the
    problems in Correlation

    https://drive.google.com/file/d/1PZ8Qocujwt061Y78H5zAhXFkJ9gLmJQY/vi
    ew?usp=sharing
    https://drive.google.com/file/d/1E_rZr-FfYXw3s7pUtkyQXfVapFxWzgDh/vie
    w?usp=sharing
    PROBLEMS FOR PRACTICE:

    1.Two random variables X and Y have joint PDF

    Find the correlation coefficient

    2.Two random variables X and Y have joint PDF

    Find the correlation coefficient


    3. Calculate the correlation coefficient from the following data:

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