Let X and Y have joint probability density function

fX,Y(x,y) = x+y, for 0 <=x<= 1, o<=y<=1

0, otherwise

How do i go about determining the corr(X,Y)?

Could someone outline the steps please.. Any help would be appreciated..

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- Oct 11th 2008, 05:47 AMbrd_7Joint Probability Function
Let X and Y have joint probability density function

fX,Y(x,y) = x+y, for 0 <=x<= 1, o<=y<=1

0, otherwise

How do i go about determining the corr(X,Y)?

Could someone outline the steps please.. Any help would be appreciated.. - Oct 11th 2008, 01:29 PMLaurent
One has $\displaystyle {\rm Corr}(X,Y)=\frac{{\rm Cov}(X,Y)}{\sqrt{{\rm Var}(X){\rm Var}(Y)}}=\frac{E[XY]-E[X]E[Y]}{\sqrt{(E[X^2]-E[X]^2)(E[Y^2]-E[Y]^2)}}$, right? So what you need to compute is $\displaystyle E[XY]$, $\displaystyle E[X]$, $\displaystyle E[Y]$, $\displaystyle E[X^2]$ and $\displaystyle E[Y^2]$. In fact, the pdf of $\displaystyle (X,Y)$ is symmetric in $\displaystyle x,y$, so that $\displaystyle X$ and $\displaystyle Y$ have same distribution and the formula reduces to: $\displaystyle {\rm Corr}(X,Y)=\frac{E[XY]-E[X]^2}{E[X^2]-E[X]^2}$.

To compute $\displaystyle E[XY]$, just integrate $\displaystyle xy$ times the pdf of $\displaystyle (X,Y)$ (over the square $\displaystyle 0\leq x,y\leq 1$).

You can do the same with the other ones (integrating $\displaystyle x$ and $\displaystyle x^2$), but you may find it quicker to first determine the pdf of $\displaystyle X$. For that, you just have to integrate the pdf of $\displaystyle (X,Y)$ with respect to the variable $\displaystyle y$, keeping $\displaystyle x$ fixed. - Oct 11th 2008, 02:19 PMmr fantastic
- Oct 11th 2008, 03:25 PMbrd_7
Thanks so much, Ok this is what i got...

E[XY] = 1/3

E[X]^2 = (1/3 + y/2)^2 = y^2/4 + 2y/6 + 1/9

E[X^2] = 1/4 + y/3

E[Y] = 1/3 + x/2

And as a final answer.. i gained..

y^4/16 - 2y^3/24 - 13y^2/144 + 10y/216 + 10/324

- Oct 11th 2008, 03:29 PMLaurent
- Oct 12th 2008, 02:14 AMbrd_7
Oh right, that makes sense.. Im assuming you would do the same if i needed E(Y)?

Well as a final answer i got -1/11..

Thanks for all the help again.