Consider two normal distribution , the covariance between them is zero right? Because covariance only measures liear relation, right? Thanks
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Originally Posted by 0123 Consider two normal distribution , the covariance between them is zero right? Because covariance only measures liear relation, right? Thanks Wrong. Consider x, y indepedent and both ~N(0,1), then (x+y)/sqrt(2) and x are both ~N(0,1), but have non-zero covariance. RonL
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