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You are here: Home Stats Department Introduction to probability - IN TRANSLATION Samdreifingar Fylgni hendinga (correlation)

Fylgni hendinga (correlation)

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Skilgreining: Látum $ X$ og $ Y$ vera hendingar með væntigildi $ E[X]=\mu_X$ og $ E[Y]=\mu_Y$ , staðalfrávik $ \sigma_X$ og $ \sigma_Y$ og samdreifni $ Cov(X,Y)$ . Fylgni hendinganna $ X$ og $ Y$ er

$\displaystyle \rho=\frac{Cov(X,Y)}{\sigma_X \sigma_Y}.
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