For questions about correlation of two random variables. Use it with [tag: random-variables] and [tag: probability].

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830 views

Correlation and Regression Question

Two separate tests are designed to measure a students ability to solve problems. Several students are randomly selected to take both tests and the results are: $$ \begin{matrix} \text{Test A}(x) ...
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0answers
124 views

Correlated Random Numbers Between A Range

I am trying to generate random numbers within a range say 57 to 107 which are correlated by a factor of 0.8. The numbers are for illustration simplicity only.
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1answer
407 views

3D correlation visualization?

Incomer per person (x axis) correlates with life expectancy (y axis). These two indicators change over time (z axis). x correlates with y. Moreover, x and y both correlate with z. The question is: ...
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1answer
52 views

Long time scale correlation

I have some EXTREMELY noisy data (standard deviation a is greater than the mean), but plotting it with a 15 data point running average does well to get a visual indication of the trending. I want to ...
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1answer
1k views

Generalized variance

Generalized variance is the determinant of correlation matrix. Does increasing the off-diagonal entries (correlation coefficients) decreases the determinant? Is a proof available? All elements are ...
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1answer
100 views

Pearson's Correlation, for comparing a PRNG?

Other than uniformity tests on random numbers of which can be done with other methods, I had wondered if the result of the Pearson Product Moment Correlation function would be an effective means to ...
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3answers
784 views

Bounds on off-diagonal entries of a correlation matrix

Assume that all the entries of an $n \times n$ correlation matrix which are not on the main diagonal are equal to $q$. Find upper and lower bounds on the possible values of $q$. I know that the ...
2
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1answer
3k views

What is the standard deviation of multiple correlated random variables subtracted from another random variable?

Wiki states that standard deviation of $X-Y$ is: $$\sigma_{x-y} = \sqrt { \sigma_x^2 + \sigma_y^2 - 2\rho\sigma_x\sigma_y }$$ I have a number (say 3) correlated random variables to be subtracted ...
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2answers
175 views

Calculating the correlation between subsequent values in a stream of numbers

I have a stream of integer values being generated $V_1,\cdots, V_n$ and want to calculate how the value of $V_{n+1}$ is correlated to $V_n.$ I would also like to calculate this at run time as ...
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3answers
199 views

Using Correlation for mouse gesture recognition

I am in need to build a mouse gesture recognition system which will compare given recognition to the the gestures in training data and will say where a given gesture best fits. I am planning to use ...
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2answers
7k views

Calculating the variance of the ratio of random variables

I want to calculate $\newcommand{\var}{\mathrm{var}}\var(X/Y)$. I know that the solution is $$\var(X) + \var(Y) - 2 \var(X) \var(Y) \mathrm{corr}(X,Y) \>,$$ but, how do I derive it from "common" ...
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2answers
791 views

Intuitive meaning of Pearson Product-moment correlation coefficient Formula

I can't understand the intuition behind Pearson Product-moment correlation coefficient Formula for bivariate data. The formula is : $\rho$ = cov(X,Y)/($S_x$ * $S_y$) where cov is covariance. $S_x$ and ...
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2answers
839 views

How to 'minimize' correlation between series

Hi fellow mathemagicians, let's say that I have 3 series of numerical results (they represent 'drawdowns') : ...
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1answer
2k views

Proving correlation coefficient = 1 or -1 given X and Y=a + bX

Given $X$ and $Y = a+bX$, I have to prove that: If $b \lt 0$, then $\rho = -1$. If $b \gt 0$, then $\rho = 1$. I've gotten to the point where I have: $$ \rho = \frac{b \cdot \sigma_x }{ ...
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1answer
1k views

Cross correlation in MATLAB HELP

I have values from two sensors stored in two vectors A and B. They both represent values of the sensors at times TA and TB which is stored in two other vectors(since it is not uniform sampling) Both A ...
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1answer
180 views

example on variance of stochastic processes

I saw this expression in a book and I cannot understand how did he get this expression. Suppose $Z_t$ and $D_t$ are some stochastic processes and we have these expressions, $Z_{t_k} - Z_{t_{k-1}} = ...
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1answer
523 views

Correlation between Beta distributions

I have a Computer Science background and not very knowledgeable in Probability and Statistics. So excuse me if my question,notation, or language is flawed. Anyways, the problems is that we have two ...
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1answer
216 views

What is the characteristic formula for the addition of two lognormal distributions?

If I have two lognormal processes (X and Y) with mean and volatiilty for each and also correlation between the two, what is the characteristic formula of X + Y (i.e. what is the new mean and new ...
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1answer
301 views

Calculate Correlation between 2 values

I have a random vector $X = ( X_1 , X_2 )$ that has a bidimensional normal repartition with mean $0$ and covariation matrix : $$ \Sigma = \left( \begin{array}{ccc} 1 & q \\ q & 1 ...
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4answers
864 views

Going back from a correlation matrix to the original matrix

I have N sensors which are been sampled M times, so I have an N by M readout matrix. If I want to know the relation and dependencies of these sensors simplest thing is to do a Pearson's correlation ...
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1answer
702 views

Statistics - Correlation between 2 sets of data

If i know the means and standard deviations of 2 sets of data, and i know the slope of the regression line, how can I find the correlation? edit Sample 1 SD: 12.37 Sample 2 SD: 7.00 Slope of ...