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Covariance. and Correlation LA Kad Y be toe ts, He Gverinne dX ark Y 9 Gv (X41) 2 E( (x- 860) (4-091) Ae Correlation fd K mA po Gy KY a2 JVerO) p> Se + Sy 2 Wert) Lemma: 1) Gu(X%X) = VectK) & 2) Cv (¥s) = E(xY)- FWECY) 3) LK and Y toe rbepenlent Hen CvlKe()= 0 ff A) Gvlx) = Cv C%X) Comedic) 5) The Coveriance fonction m bilmeac, thet & for a hER and vw XY, ont £, Cou (aX4bY, £) = alw(X2) 4472) g (eX, a¥ab£) 2 alv(X,Y) + bovimZ) Pot: a) thes 2) Guten) = E( (x-8) (5-FO)) = F( xy- Eh ¥- el x +E EM) ly coe > E(eY) - S008) 44) + EWE) = G(x) - EEL), 3) Gi (KY) = Ele) - EOE LY) ame Kad { oe? ae tee FY) = EOE) > FEY) -EE(T), A) gleams SY Ge (ess 2) = E( (axs¥-(eeistam)) (2-260 ) Gbrs ~#00)(z 2) + Ef (y-be(n)(z- Hai 2 eke (4) (Z- 7) ) 2 abl ¥2) 6 E( (S900) (2-6) © bev (®) (Cet) (2-8t0)) = bwv(¥.#) fa 4 ay Renan a iets etait Sopp abel Example: Lew lverience pp independence. let KX te a tv hie densdy fencha ve evene me SOD Se nt ap Gn hd let 2 Xe Gv(Y,x) 20. dete Gv (4d ECTX) - EX ELT) BOR) - FU E(F) = 0 E(X") ubne 7 odd o .° fe) dazo + Exe« ise cm adh oer w wr Cortlidin dQ Ket pe lar (xy) 2 Gee or FY Lemms: ') | Corr (xy) | <1 2) larlxs)e-l if od omyfZ aber end 660 Sucl that PCY: atbX)= 7 3) Cortoepel f dt nly if gas €0 rnd bro Sack Hah PC Ye atbx)=] fey Hl for gm, PCY: ctbx) = » CY tb) i (tote aalXla) , yoo € AL} yearby => P(Yeesb¥) Vv p( fo: Yar=ashKea}) = | t tee enn sok ubdy oo D Rta: Tod asskas)= 0 yo cot, bt at ply

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