Thread: normal distribution

Consider two normal distribution , the covariance between them is zero right? Because covariance only measures liear relation, right? Thanks

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