The value of $correlation(X, Y)$ is __________ . (Answer in integer)
We need to find the correlation between random variables $X$ and $Y$, denoted as $Corr(X, Y)$.
First, let's find the expected value of $X$ and $Y$ given $X=x$.
Using the law of total expectation, $E[Y] = E[E[Y|X]]$:
$E[Y] = E[X^2]$
For $X \sim Uniform(a, b)$, $E[X^2] = \frac{a^2 + ab + b^2}{3}$.
Here, $a = -1$ and $b = 1$.
$E[X^2] = \frac{(-1)^2 + (-1)(1) + (1)^2}{3} = \frac{1 - 1 + 1}{3} = \frac{1}{3}$.
Therefore, $E[Y] = \frac{1}{3}$.
The formula for covariance is $Cov(X, Y) = E[XY] - E[X]E[Y]$.
We need $E[XY]$. Using the law of total expectation again:
$E[XY] = E[E[XY|X]] = E[X \cdot E[Y|X]]$
Substitute $E[Y|X] = X^2$:
$E[XY] = E[X \cdot X^2] = E[X^3]$.
For $X \sim Uniform(-1, 1)$, $E[X^k] = \frac{1}{1 - (-1)} \int_{-1}^{1} x^k dx$.
Calculate $E[X^3]$:
$E[X^3] = \frac{1}{2} \int_{-1}^{1} x^3 dx = \frac{1}{2} \left[ \frac{x^4}{4} \right]_{-1}^{1} = \frac{1}{2} \left( \frac{1^4}{4} - \frac{(-1)^4}{4} \right) = \frac{1}{2} \left( \frac{1}{4} - \frac{1}{4} \right) = 0$.
So, $E[XY] = 0$.
Now, calculate the covariance:
$Cov(X, Y) = E[XY] - E[X]E[Y] = 0 - (0) \cdot (\frac{1}{3}) = 0$.
The correlation is calculated as $Corr(X, Y) = \frac{Cov(X, Y)}{\sqrt{Var(X) Var(Y)}}$.
Since $Cov(X, Y) = 0$, and the variances $Var(X)$ and $Var(Y)$ are finite and non-zero (specifically $Var(X) = \frac{(1-(-1))^2}{12} = \frac{4}{12} = \frac{1}{3}$), the correlation is:
$Corr(X, Y) = \frac{0}{\sqrt{Var(X) Var(Y)}} = 0$.
The value of $correlation(X, Y)$ is 0.
If X ∼ N (0, 1) and Y = X2 then the correlation coefficient r (X, Y) is
Given below are two statements: One is labelled as Assertion (A) and the other is labelled as Reason (R).
Assertion (A): If the securities with less than perfect negative correlation between their price movements are combined, portfolio risk can be reduced significantly.
Reason (R): The term with negative correlation has the effect of reducing the computed value of total portfolio risk, given other terms that are positive.
In the light of the above statements, choose the most appropriate answer from the options given below:
Consider two exponentially distributed random variables X and Y, both having a mean of 0.50. Let Z = X + Y and r be the correlation coefficient between X and Y. If the variance of Z equals 0, then the value of r is _______ (round off to 2 decimal places).
The two-regression equation of variable \(\rm{x}\) and \(\rm{y}\) are
\(\rm{y = 0.8x + 9.8}\) and \(\rm{x = 10.2 + 0.6y}\)
The coefficient of correlation between \(\rm{x}\) and \(\rm{y}\) is