"Chia C Chong" <[EMAIL PROTECTED]> wrote in message
news:<a2fgce$b32$[EMAIL PROTECTED]>...
> Hi!
>
> I have 2 random varaibles (X and Y) obtained from some experiments. I have
> expressed these 2 RVs in ternm of 2-D joint PDF f(X,Y)=f(Y|X)f(X).I would
> like to test the correlation between them to see whether there are
> correlated or not. Do I simply find the correlation coeffient between these
> two variables or are there other ways that I could use to test correlation??
If you're interested in association rather than just correlation, take
a look at f(Y|X) (*including* the range of values for y). If it
doesn't depend on x, then the variables won't be associated.
(Actually, the correct way to do it is to check that f(Y|X) = f(Y), so
if you can find f(Y) easily, do that.)
Assessing if there's any linear correlation is a matter of checking if
E(XY) = E(X) E(Y).
What's the difference? As an example, imagine X is symmetric about 0,
and let's further assume that at least the first few moments exist.
Let Y=X^2.
Then X and Y are perfectly associated (you tell me X, I'll tell you
Y), but uncorrelated.
Glen
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