Proof that given 2 variables X and Y with correlation rho_{X,Y} and given U=a+bX and V=c+dY

eukrasicx

eukrasicx

Answered question

2022-09-29

Proof that given 2 variables X and Y with correlation ρ X , Y and given U = a + b X and V = c + d Y then ρ X , Y = ρ U , V if b d > 0

Answer & Explanation

Conor Daniel

Conor Daniel

Beginner2022-09-30Added 11 answers

Step 1
Cov ( U , V ) = Cov ( a + b X , c + d Y ) = [some expression involving  Cov ( X , Y ) ]
Var ( U ) = Var ( a + b X ) = [some expression involving  Var ( X ) ]
Var ( V ) = Var ( c + d Y ) = [some expression involving  Var ( Y ) ]
Use what you know about the definition of covariance and variance to fill in the blanks on the right-hand side. Then relate all this back to ρ U , V and ρ X , Y .

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