Lecture 9: Variance, Covariance, Correlation Coefficient

Variance

Covariance

Correlation coefficient

Lecture 9: Variance, Covariance, Correlation Coefficient

Katerina Stan kov?

Statistics (MAT1003)

May 2, 2012

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Variance

Outline

Covariance

1 Variance Definition Standard Deviation Variance of linear combination of RV

2 Covariance Meaning & Definition Examples

3 Correlation coefficient

book: Sections 4.2, 4.3

Correlation coefficient beamer-tu-log

Variance

And now . . .

Covariance

1 Variance Definition Standard Deviation Variance of linear combination of RV

2 Covariance Meaning & Definition Examples

3 Correlation coefficient

Correlation coefficient beamer-tu-log

Variance

Covariance

Correlation coefficient

Definition

Variance Let X be an RV with ?x = E(X ). Then the variance of X is given by

V (X ) = E{(X - ?X )2}

beamer-tu-log

Variance

Covariance

Correlation coefficient

Definition

Variance

Let X be an RV with ?x = E(X ). Then the variance of X is given by

V (X ) = E{(X - ?X )2}

Notation: V (X ), Var(X ), 2, x2

book

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