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Math Help - Correlation

  1. #1
    Senior Member chella182's Avatar
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    Jan 2008
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    Correlation

    X and Y are random variables with expectation equal to zero and variances \sigma^2 and \omega^2\sigma^2 respectively.
    a) If X and Y are independent show that the correlation of X+Y and X-Y is

    \frac{1-\omega^2}{1+\omega^2}.

    b) Find the corresponding correlation if X and Y are not independent but have correlation \rho.
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  2. #2
    Newbie
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    Apr 2010
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    how about starting with the defintion of correlation in terms of covariance?
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