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Topic: computing covariance from joint CDF and marginal CDF
Replies: 2   Last Post: Feb 10, 2013 8:42 AM

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zhangwenchang89@gmail.com

Posts: 1
Registered: 11/29/12
Re: computing covariance from joint CDF and marginal CDF
Posted: Nov 29, 2012 10:50 PM
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On Sunday, October 1, 2006 3:00:07 AM UTC-7, regis lebrun wrote:
> Hi,
>
> i know there exists a formula expressing the covariance
> E[(X-E(X))(Y-E(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



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