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Math Help - Finding Covariance of Continuous Probability Distributions

  1. #1
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    Finding Covariance of Continuous Probability Distributions

    Can someone guide me through this problem or suggest how to start?

    Let X and Y denote the value of two stocks at the end of a five-year period. X is uniformly distributed on the interval (0,12). Given X = x, Y is uniformly distributed on the interval (0, x). Determine Cov( X, Y ) according to this model.
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  2. #2
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    Quote Originally Posted by Walcott89 View Post
    Can someone guide me through this problem or suggest how to start?

    Let X and Y denote the value of two stocks at the end of a five-year period. X is uniformly distributed on the interval (0,12). Given X = x, Y is uniformly distributed on the interval (0, x). Determine Cov( X, Y ) according to this model.
    The first step would be to get the joint pdf.

    Spoiler:
    Hey, at least try to get it before looking!
    Spoiler:
    *Ahem* ....
    Spoiler:
    f(x, y) = \frac{1}{x} \cdot \frac{1}{12} for 0 < y < x < 12 and zero otherwise.
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