1. ## correlation coefficient

Let X1 and X2 be independent random variables with EXi =Ui (where U is actually Mu) and Var(Xi) =Sigma^2 where sigma(i)^2 >0 and i=1,2,3.....
Let Y1 = X1 + X2 and Y2 = X1 - X2. Determine py1y2 (where p=Rho), the correlation coefficient of Y1 and Y2. Under what conditions are Y1 and Y2
uncorrelated?

Once again i dont know where to start

2. Originally Posted by noel_gallagher
Let X1 and X2 be independent random variables with EXi =Ui (where U is actually Mu) and Var(Xi) =Sigma^2 where sigma(i)^2 >0 and i=1,2,3.....
Let Y1 = X1 + X2 and Y2 = X1 - X2. Determine py1y2 (where p=Rho), the correlation coefficient of Y1 and Y2. Under what conditions are Y1 and Y2
uncorrelated?

Once again i dont know where to start

Try starting with the defintion:

p = E [ (Y1 - Mu1)*(Y2 - Mu2) ] / (Sigma1*Sigma2)

where Mu1, Sigma1 are associate with Y1 and Mu2, Sigma2 are associated with Y2.

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