Depency of random variable, covariance and correlation matrix

Landen Miller

Landen Miller

Open question

2022-08-17

Continuous random variable R ( 0 , 2 ) . Describe the dependency of Y on X for Y = X 2 . Write a covariance matrix and correlation matrix of a random vector ( X , Y ) .

Answer & Explanation

Cynthia Lester

Cynthia Lester

Beginner2022-08-18Added 22 answers

Step 1
You are on the right track. Just apply the definitions.
Correlation matrix: R = E { [ X Y ] [ X , Y ] } = [ E { X 2 } E { X Y } E { X Y } E { Y 2 } ]
Covariance matrix: C = E { [ X ~ Y ~ ] [ X ~ , Y ~ ] } = [ E { X ~ 2 } E { X ~ Y ~ } E { X ~ Y ~ } E { Y ~ 2 } ]
where X ~ = X E { X } .
Now, you have calculated E { X } and and E { X ~ 2 } correctly. You already have E { X 2 } , since it equals E { X ~ 2 } + ( E { X } ) 2 . As for E{XY}, it equals E { X Y } . Also E { Y 2 } = E { X 4 } . And so on. For example,
E { Y } = E { X 2 } = 1 3 + 1 2 = 4 3
E { X Y } = E { X 3 } = 0 2 1 2 x 3 d x = 1 2 [ 1 4 x 4 ] x = 0 2 = 2

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