Proof of Covariance

swarnendupathak
Finance Junkie
Posts: 119
Joined: Mon Sep 17, 2012 11:06 am

Proof of Covariance

Postby swarnendupathak » Mon Sep 17, 2012 11:29 am

Hi,
I came accross with one covariance problem as below. Can anyone help me out please.

Suppose that (X, Y) has probability density function f(x, y) = x + y for 0 < x < 1, 0 < y < 1. Find

a.cov(X, Y)
b.cor(X, Y).

Thanks
Swarnendu

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swarnendupathak
Finance Junkie
Posts: 119
Joined: Mon Sep 17, 2012 11:06 am

Re: Proof of Covariance

Postby swarnendupathak » Thu Sep 20, 2012 3:11 pm

Hi, can anybody help me out...

Regards
Swarnendu

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Proof of Covariance

Postby content.pristine » Thu Sep 20, 2012 4:47 pm

Hi Swarnendupathak,

This is a good question. However, to answer this, you would need to use the integral function as well as the double integral function to solve this. This is beyond the scope of the FRM syllabus. Where did you find this question?


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