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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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.
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.
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