Summary: '
&
$
%
Lecture 19
Correlations
Multinomial correlations
Sharkey's casino
Spurious correlations
Variance of a sum
Square root law
1
'
&
$
%
Covariance and correlation
· Cov(X, Y ) = E{(X - µX) (Y - µY )}
· Cov(X, Y ) = E{XY } - µXµY
· V ar(X + Y ) = V ar(X) + V ar(Y ) + 2Cov(X, Y )

Source: Adler, Robert J. - Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology

Collections: Mathematics; Engineering