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    coefficient of correlation, regression

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    Help is given with coefficient of correlation, regression, etc.

    © BrainMass Inc. brainmass.com October 9, 2019, 3:36 pm ad1c9bdddf
    https://brainmass.com/economics/regression/coefficient-correlation-regression-8472

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    3.13 X1, X2, X3 are uncorrelated, i.e. cov(Xi,Xj)=0 for all I<>j
    Let Var(Xi)=S
    Then Var(X1+X2)=E([(X1+X2)-E(X1+X2)]^2)=E([X1+X2-E(X1)-E(X2)]^2)
    = E(([X1-E(X1)]+[X2- E(X2)])^2)=E(([X1-E(X1)]^2+[X2- E(X2)]^2+[X1-E(X1)]* [X2- E(X2)]
    = E([X1-E(X1)]^2)+E([X2- E(X2)]^2)+E([X1-E(X1)]* [X2- E(X2)])
    = var(X1)+ var(X2)+cov(X1,X2)=S+S+0=2S
    in the same way, we can prove that Var(X3+X2)=2S
    Now, Cov[(X1+X2),( X3+X2)]=E([(X1+X2)-E(X1+X2)]*[(X3+X2)-E(X3+X2)])
    =E{([X1-E(X1)]+[X2-E(X2)])* ([X3-E(X3)]+[X2-E(X2)])}
    =E{[X1-E(X1)]* [X3-E(X3)]+ [X2-E(X2)]* [X3-E(X3)]+ [X2-E(X2)]* [X1-E(X1)]+[X2-E(X2)]* [X2-E(X2)]}= E{[X1-E(X1)]* [X3-E(X3)]}+ E{[X2-E(X2)]* [X3-E(X3)]}+ E{[X2-E(X2)]* ...

    Solution Summary

    This job explores coefficient of correlation, regression, and other terms.

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