
Re: computing covariance from joint CDF and marginal CDF
Posted:
Nov 29, 2012 10:50 PM


On Sunday, October 1, 2006 3:00:07 AM UTC7, regis lebrun wrote: > Hi, > > i know there exists a formula expressing the covariance > E[(XE(X))(YE(Y))] between X and Y, involving a double integral of > F_X(x), F_Y(u) and F_XY(x, y), the CDF of X, Y and (X,Y), but I can't > remember it and didn't found > it with google. Does someone remember this formula? > > Thanks for the help, > > Régis LEBRUN
cov(X,Y)=double integral(F_X,Y (x,y)F_X(x)*F_Y(y))dxdy

