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Thread: The sign of COV( f(x,y) , g(x,y) )

  1. #16
    Stole
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    Quote Originally Posted by vinux View Post
    Sorry for the confusion. I was talking about the Then part



    It is not the condition
    But just as you posted, let f=x-y, and g=x-2y, then
    COV(f, g)=V(x)+2V(y)-3COV(x,y).
    If COV(x,y) is positive and large enough, COV(f,g) can be negative.
    So COV(f, g)>=0 is not guaranteed.

  2. #17
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    Quote Originally Posted by Stole View Post
    But just as you posted, let f=x-y, and g=x-2y, then
    COV(f, g)=V(x)+2V(y)-3COV(x,y).
    If COV(x,y) is positive and large enough, COV(f,g) can be negative.
    So COV(f, g)>=0 is not guaranteed.
    If X and Y are independent then Cov(X,Y)=0.
    In the long run, we're all dead.

  3. #18
    Stole
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    Quote Originally Posted by vinux View Post
    If X and Y are independent then Cov(X,Y)=0.
    All right........................

  4. #19
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    Quote Originally Posted by Stole View Post
    All right........................
    Hi Stole (and Richie):

    Is the article that you're referring to available on-line?...or can you (Stole) give the citation of the article.

    I think that would help because it would provide more context in terms of what the author(s) is(are) trying to do.

  5. #20
    Stole
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    Quote Originally Posted by Dragan View Post
    Hi Stole (and Richie):

    Is the article that you're referring to available on-line?...or can you (Stole) give the citation of the article.

    I think that would help because it would provide more context in terms of what the author(s) is(are) trying to do.
    I would like to, but that is my friend's working paper, and he wont let me do this. But I will let him know about this problem in his paper. Thanks!

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