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Math Help - correlation question

  1. #1
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    correlation question

    Hi everybody,

    Can enybody help me out:

    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
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  2. #2
    Grand Panjandrum
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    Re: correlation question

    Quote Originally Posted by vacony View Post
    Hi everybody,

    Can enybody help me out:

    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
    Please clarify your question, the correlation of two RVs is restricted to the interval [-1,1]

    CB
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  3. #3
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    Re: correlation question

    sorry:
    cor(X,Y)=90% and cor(Y,Z)=80%.
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  4. #4
    Grand Panjandrum
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    Re: correlation question

    Quote Originally Posted by vacony View Post
    Hi everybody,

    Can enybody help me out:

    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 04:59 AM.
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