11/3/2010

Linear combinations of normal random variables

Covariance and Correlation

• Definition
• Computational Formula
• Interpretation
• Example
  • Let (X, Y) have the joint distribution defined by the following table:

  • 		X
    		0	1	2
    Y	0	1/6	1/3	1/12
    	1	2/9	1/6	0
    	2	1/36	0	0

  • Find the covariance of X and Y

Please read Sections 7.5 and 7.6 for class on Friday. We will also have a problem session on Friday.