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Chapter 5

The document discusses operations on multiple random variables including expected value, correlation, covariance, and correlation coefficient. Several examples are provided to demonstrate how to calculate these metrics for different random variable scenarios.

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saher.khkefat12
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16 views33 pages

Chapter 5

The document discusses operations on multiple random variables including expected value, correlation, covariance, and correlation coefficient. Several examples are provided to demonstrate how to calculate these metrics for different random variable scenarios.

Uploaded by

saher.khkefat12
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Chapter 5

Operations on Multiple Random Variables


May 2022

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 1


Expected value: Function of a Random Variable

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 2


Expected value: Function of a Random Variable

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 3


Expected value: Function of a Random Variable

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 4


Correlation of Two Random Variables

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 5


Correlation of Two Random Variables

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 6


Correlation of Two Random Variables
Example: Let X be a random variable with mean and varianceLet another random variable
be defined by
 Find the mean value of Y,
 Find the correlation factor,

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 7


Covariance of Two Random Variables

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 8


Covariance of Two Random Variables

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 9


Covariance of Two Random Variables
Example: Let X and Y be independent random variables. Find their covariance.

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 10


Covariance of Two Random Variables
Example: Let X and Y be orthogonal random variables. Find their covariance.

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 11


Covariance of Two Random Variables

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 12


Covariance of Two Random Variables
Example: Find
A. Var(X-Y)
B. Var(2X+3Y)
C. Var(X-2Y)

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 13


Covariance of Two Random Variables

• Covariance between two random variables:

cov(X,Y) > 0 X and Y are positively correlated


cov(X,Y) < 0 X and Y are inversely correlated
cov(X,Y) = 0 X and Y are independent

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 14


Example

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 15


Example

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 16


Correlation Coefficient of X and Y

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 17


Correlation Coefficient of X and Y

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 18


Correlation Coefficient of X and Y

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 19


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Correlation Coefficient of X and Y
Example: Let be uniformly distributed in the interval Let and

 Find the Correlation Coefficient .

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 30


Correlation Coefficient of X and Y
Example: Let be uniformly distributed in the interval Let and

 Find the Covariance Coefficient .

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 31


Jointly Gaussian Random Variable

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 32


Jointly Gaussian Random Variable

Dr. Zouhair Al-qudah .... Al-Hussein Bin Talal University 33

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