Considering three random variables X, Y and Z
if cor(X,Y)=90 and cor(Y,Z)=80
Can we deduce from this cor(X,Z)? if yes, how?
thank you
No.
The easiest way to show this is with a counter example (or rather a pair of examples both of which have the given correlations but the remaining unspecified correlations differ) where each of X, Y and Z is ~N(0,1)
CB
Last edited by CaptainBlack; September 5th 2011 at 05:59 AM.