Suppose that X1,X2,X3,X4,X5 are independent random variables with variance

a^2. Determine the covariance of:

(X1 + 3*X2 + 2*X3)

and (2*X1 − X2 + 3*X4 + X5)?

Determine the

correlation between these two variables?

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- November 10th 2009, 12:41 PMsirellwoodIndependent Random Variable Correlation
Suppose that X1,X2,X3,X4,X5 are independent random variables with variance

a^2. Determine the covariance of:

(X1 + 3*X2 + 2*X3)

and (2*X1 − X2 + 3*X4 + X5)?

Determine the

correlation between these two variables? - November 10th 2009, 12:59 PMMoo
Hello,

The covariance has to be between two random variables. So the questions you wrote make no sense...

Note that the covariance is a bilinear form. That should help you answer the questions. - November 10th 2009, 01:52 PMsirellwood
It is asking for the covariance of the two seperate bracketed functions if that makes sense?

So (X1 + 3*X2 + 2*X3) is one random variable, and (2*X1 − X2 + 3*X4 + X5) is the other.