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

1. Originally Posted by vinux
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. Originally Posted by Stole
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.

3. Originally Posted by vinux
If X and Y are independent then Cov(X,Y)=0.
All right........................

4. Originally Posted by Stole
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. Originally Posted by Dragan
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!