
computing covariance from joint CDF and marginal CDF
Posted:
Oct 1, 2006 6:00 AM


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

