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334概率中等数值题short

Robust Covariance of Overlapping Sums of Independent Variables

题目

Let XX, YY, ZZ be independent random variables with Var(X)=1\operatorname{Var}(X) = 1, Var(Y)=2\operatorname{Var}(Y) = 2, and Var(Z)=3\operatorname{Var}(Z) = 3. Define U=X+YU = X + Y and V=Y+ZV = Y + Z. Compute Cov(U,V)\operatorname{Cov}(U, V) and Corr(U,V)\operatorname{Corr}(U, V).

Additional robustness twist: before observation, an independent random relabeling of outcome labels is applied. Compute the same target and justify invariance.

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你的答案

Cov(U,V)

Corr(U,V)