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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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regis lebrun

Posts: 6
Registered: 9/14/06
computing covariance from joint CDF and marginal CDF
Posted: Oct 1, 2006 6:00 AM
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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,


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