Date: Oct 1, 2006 6:00 AM
Author: regis lebrun
Subject: computing covariance from joint CDF and marginal CDF

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,

RĂ©gis LEBRUN