Correlation Function Let X,Y be random variables. If ρ(X,Y)=a (Correlation), where ain(0,1), what can be said about the relationship between X and Y? Is it true that Y=bX+c+Z, where Z is a random variable? If it is true then how is |Z| related to the correlation a?

Alice Chen

Alice Chen

Answered question

2022-11-07

Correlation Function
Let X,Y be random variables. If ρ ( X , Y ) = a (Correlation), where a ( 0 , 1 ), what can be said about the relationship between X and Y? Is it true that Y=bX+c+Z, where Z is a random variable? If it is true then how is | Z | related to the correlation a?

Answer & Explanation

mangoslush27fig

mangoslush27fig

Beginner2022-11-08Added 15 answers

With no independence assumption, it is difficult to say anything else than Y=bX+Z with b = a σ ( Y ) / σ ( X ) for a random variable Z such that Cov(Z,X)=0.
For example Z could be Z=XT for any centered random variable T independent on X. If T is t times a centered Bernoulli random variable with | Z | = t | X | is not determined by a and may be as large as one wants.

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