概率统计(英文) chapter50 Joint Probability Distributions and Random Samples.pptVIP

Covariance When two random variables X and Y are not independent,it is frequently of interest to assess how strongly they are related to one another; DEFINITON: The covariance between two rv’s X and Y is The rationale for the definition is as follows. Suppose X and Y have a strong positive relationship to one another, by which we mean that large value of X tend to occur with large value of Y and small value of X with small values of Y. Then most of the probability mass or density will be associated with (x-μX) and (y- μY) either both positive (both X and Y above their respective means) or both negative, so the product (x-μX) (y- μY) will tend to be positive. Thus, for a strong positive relationship, Cov(X,Y) should be quite positive. For a strong negative relationship, the signs of (x-μX) and (y- μY) will tend to be opposite, yielding a negative product. Thus, for a strong negative relationship, Cov(X,Y) should be quite negative. If X and Y are not strongly related, positive and negative products will tend to cancel one another, yielding a covariance near 0. Figure 5.4 illustrates the different possibilities.The covariance depends on both the set of possible paris and the probabilities.In Figure 5.4,the probabilities could be changed without altering the possible pairs,and this could drastically change the value of Cov(X,Y) . y x μY μX + + -- -- y x μY μX + + -- -- y μY μX + + -- -- Positive covariance Negative covariance Covariance =0 Example 5.15 The joint and marginal pmf’s for X=automobile policy deductible amount and Y=homeowner policy deductible amount in Example 5.1 were p(x,y) x 100 250 0 200 100 .20 .10 .20 .05 .15 .30 x pX(x) 100 250 .5 .5 y pY(y) 100 .25 0 .25 From which μX=∑xpX(x)=175 and μY=125.Therefore. The following shortcut formula for Cov(X,Y) simplifies the computations. PROPOSITION: y Example 5.16 The joint and marginal pdf’s X=amount of almonds and Y= amount of cashews were With fY(y) obtained by replacing x b