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How to find covariance?by jimmy1
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#1
Jul1107, 11:56 AM

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I have 2 normally distributed dependent random variables, X and Y, and I have the mean and variance of both of them, and I want to find the covariance (or correlation) between X and Y.
Now the formula for the covariance is Cov(XY) = E(XY)  E(X)E(Y). So I tried to calculate E(XY) via the bivariate normal distribution, but it seems that to use the bivariate normal I need to provide the correlation coefficent as a parameter, but this is the parameter that i'm trying to actually find. So how would I find an expression for the covariance of X and Y? To find E(XY), it seems you need to use P(XY), but to use this bivariate probability you need to provide the covariance (or correlation coefficent). So how do I get around this problem?? 


#2
Jul1107, 01:00 PM

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You can numerically calculate the covariance by taking multiple observations from the two distributions and multiplying their values. The mean of their product is E(XY). For example, let X = daily humidity and Y = daily temperature. If I measure humidity and temperature over 100 days (or at 100 locations), I will have 100 ordered pairs of (X,Y), from which I can calculate E(XY).



#3
Jul1107, 01:22 PM

P: 61

Yes, with observations from the two distribitions I could calculate E(XY), but I need an expression for the covariance of X and Y, and not really an empirical result. That is given (X,Y) are both normally distributed with mean (m1, m2), and standard deviation (s1,s2) how do I find the covariance of XY, when they are dependent.
What really confuses me is that for all these bivariate distributions you need to supply a correlation coefficent or some sort of covariance parameter, yet there seems to be no way of actually obtaining these covariances for dependent variables? So how does one actually use any of these bivariate distributions if it's not possible to theoretically get the covariances?? 


#4
Jul1107, 01:27 PM

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How to find covariance?
If you think that two variables are jointly distributed but you only know the marginal distributions, the simplest way to obtain the joint dist. is to calculate the covariance empirically. Other than that, there are copulas: http://en.wikipedia.org/wiki/Copula_%28statistics%29



#5
Jul1107, 04:36 PM

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#6
Jul1107, 06:54 PM

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#7
Jul1207, 04:39 PM

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#8
Jul2107, 11:50 AM

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