Let (X) and (Y) be random variables with expected values (mu=mu_{X}=mu_{Y}) and variances (sigma^{2}=sigma_{X}^{2}=sigma_{Y}^{2}). Let (Z=(2 X+Y)

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Let \(X\) and \(Y\) be random variables with expected values \(\mu=\mu_{X}=\mu_{Y}\) and variances \(\sigma^{2}=\sigma_{X}^{2}=\sigma_{Y}^{2}\). Let \(Z=(2 X+Y) / 2\).

a. Find the expected value of \(Z\).

b. Find the variance of \(Z\) assuming \(X\) and \(Y\) are statistically independent.

c. Find the variance of \(Z\) assuming that the correlation between \(X\) and \(Y\) is -0.5 .

d. Let the correlation between \(X\) and \(Y\) be -0.5 . Find the correlation between \(a X\) and \(b Y\), where \(a\) and \(b\) are any nonzero constants.

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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