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September 20th, 2011, 04:15 PM   #1
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correlation coefficient

So here's the thing... I think I only need to know how to get the expected value of two dependent variables , but just in case I'm wrong I'll give you all the data.
Let be independent random variables with uniform distribution over a closed interval . Then we define variables and .

We're looking for a corelation coeficient between and , where this is its formulae:

and are expected value and dispersion respectively for a variable .
For is the cumulative distribution function of a variable :

and probability density:

So we can get the expected value of :


Analogous for :

As expected due to the simetry of and over .
\\
Now we need the expected value of the product of :


Now the dispersions:


I thank you in advance for all your help, matmul
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October 24th, 2011, 08:11 AM   #2
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Re: correlation coefficient

i suppose noone knows the answer?
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