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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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kolibris

Posts: 1
From: Lietuva
Registered: 2/10/13
Re: computing covariance from joint CDF and marginal CDF
Posted: Feb 10, 2013 8:42 AM
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> cov(X,Y)=double integral(F_X,Y
> (x,y)-F_X(x)*F_Y(y))dxdy


Hi,

could you give a hint how to derive this formula or a reference?

Thank you very much in advance,
Kolibris



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