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Thread: Covariance

  1. October 14th 2008, 02:23 AM #1
    batman
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    Covariance

    What is Cov(f(X),X) , with f a given function and X a random variable?
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  2. October 14th 2008, 02:27 AM #2
    batman
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    I mean is there a way to rewrite this, or a way to rewrite E[F(X)*X]
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  3. October 14th 2008, 03:46 AM #3
    mr fantastic
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    Quote Originally Posted by batman View Post
    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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