Covariance

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October 14th 2008, 02:23 AM
batman

Covariance

What is Cov(f(X),X) , with f a given function and X a random variable?
October 14th 2008, 02:27 AM
batman

I mean is there a way to rewrite this, or a way to rewrite E[F(X)*X]
October 14th 2008, 03:46 AM
mr fantastic

Quote:

Originally Posted by batman

I mean is there a way to rewrite this, or a way to rewrite E[F(X)*X]

$E[X f(X)] = \int_{-\infty}^{+\infty} x f(x) \, g(x) \, dx$ where g(x) is the pdf of X.

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