- #1
vj3336
- 15
- 0
Homework Statement
Show that for identically distributed, but not necessarily independent random variables with positive pairwise correlation ρ, the variance of their average is ρσ^2 + (1-ρ)σ^2/B.
ρ - pairwise corellation
σ^2 - variance of each variable
B - number of samples
Homework Equations
?
The Attempt at a Solution
I'm totally stuck on this problem, I don't know where to start.
Can you give me some starting hint ?
I know that variance of the average for independent identically distributed random variables is σ^2/B