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Nancy 王悦 · 2020年04月07日

问一道题:NO.PZ2015120604000064 [ CFA I ]

问题如下:

According to the above table, what is the correlation of X and Y, given the joint probability table above?

选项:

A.

-0.98.

B.

0.16.

C.

0.98.

解释:

A is correct

Corr(X,Y)=Cov(X,Y)σxσyCorr(X,Y)=\frac { Cov(X,Y) }{ { \sigma }_{ x }{ \sigma }_{ y } } ,

Cov(X,Y)=-4.8, standard deviations of X and Y are 1.90 and 2.58, as calculated before,

thus correlation of X and Y is -0.98

X Y 方差怎么计算出来的
1 个答案

星星_品职助教 · 2020年04月07日

同学你好,

方差就是在求距离均值距离的加权平均,算方差和算协方差套路是一样的,都是第一步先根据概率加权平均算均值,第二步根据计算出来的均值套方差/协方差的公式,根据概率加权平均算方差/协方差

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