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Correlation coefficient and Bivariate Normal Distribution
Meaning of correlation:
two variables deviate in the same direction, . ., if the increase (or decrease) in one
affects a change in the other variable, the variables are said to be correlated. If the
(or decrease) in one results in corresponding decrease (or increase) in the other,
correlation is said to be negative. For example, the correlation between (i) the
heights and weights of a group of persons, and (ii) the income and expenditure; is
positive and the correlation between (i) price and demand of a commodity and (ii)
the volume and pressure of a perfect gas; is negative. Correlation is said to be perfect
if the deviation in one variable is followed by a corresponding and proportional
deviation in the other.
,
Pearson, a British Biometrician developed a formula called correlation coefficient.
Correlation coefficient between two variables and , usually denoted by
or , is a numerical measure of linear relationship between them and is defined by
, = =
,
.
where = , = − − ,
=" = − =" = −
! ! ! !
and
Note:
Properties:
Proof:
Consider = , = − −
⟹ = , − . …… (1)
= . .…… (2)
The converse need not be true. That is, uncorrelated variables need not be
independent.
Solution: Consider , = − . = 6
− . !
= 0−0 = 0
−2 2
1 2 5
7 7
3 3
2
7 7
−2 2 8 9
1 2 5 4
7 7
8
4
3 3
2 7 7 8
< = 6 ? 1
> >
We have
6 ? 6 ? ! C
= ∑ = < = = −1 × + 1 × = − + = = ,
> > > > > D
!6 ? 6 ?
!
= ∑ = ! E = = −1 + 1! × = + = 1, then
> > > >
! C ! C C?
" = !
− =1−F G =1− =
D CH CH
D D D C
=∑ I = 0× +1× = =
> > > !
Similarly,
D D D C
!
=∑ !
I = 0! × + 1! × = = and
> > > !
! C C ! C C C
" = !
− = −F G = − =
! ! ! D D
C 6 ! !
= 0 × −1 × + 0 × 1 × + 1 × −1 × + 1 × 1 × = 0
> > > >
Further,
Thus, , = −
0− × =−
C C C
D ! >
,
L
∴ # , = =− =− = −0.2582
M C
Example 3: Two random variables and have the joint probability density
function
3 − T − 9 , 1 < = < 1 , 1 < < 1^
S T, 9 = U
1 , WXYZ[\]Y
Find correlation coefficient between and .
− = , _ 0 < = < 1^
6
Thus, _C = = d!
0 , eℎ gh i
Consider.
3 3 5
= ` =_C = b= = ` = j − =k b= = ` j = − = ! k b= =
C C C
a a 2 a 2 12
C
3 C C
3 1
!
= ` =_C = = ` = j − =k b= = ` j = ! — = 6 k b= =
!
a a 2 a 2 4
Further,
C C C C
= ` ` = _ =, b= b = ` ` = 2 − = − b= b
a a a a
=! =6 =!
C C C C
=` m` 2= − = − = b= n b = ` !
o2. − − p b
a a a 2 3 2 a
C
1 C
2
= ` j1 − − k b = ` j − k b
a 3 2 a 3 2
2 1 1 1
C ! 6 6 C
= ` m − nb = o − p = − =
a 3 2 3 6 a 3 6 6
1
∴ =
6
? !
Thus, " = − = −F G = − = =
! ! C C !? 6H'!? CC
D C! D CDD CDD CDD
? !
, = − = −F G = − = =−
C C !? !D'!? C
H C! H CDD CDD CDD
and
,
L L
# , = =− =− =−
LPP LPP C
LL
K" = K" LL LL CC
K K LPP
LPP LPP
Bivariate Normal Distribution:
,
bivariate normal distribution with parameters rC , r! , C , ! and # if its p.d.f. is given
Definition: The bivariate continuous random variable is said to follow
! !
by
_ =, = =< w− x − 2# + |};
C C y'zL u y'zL {'zu {'zu u
!stL tu C'vu ! C'vu tLu tL tu tuu
= = r! + and b = !b
{'zu
Let
tu
, then !
Therefore,
y'zL !
_C = = „ =< …− UF G − 2# F G+ †‡ b
tu ƒ C y'zL !
!stL tu C'v u 'ƒ ! C'vu tL tL
C y'zL ! !
= =< …− F G ‡ „'ƒ =< …− ! x −#F G| ‡ b
C ƒ C y'zL
!stL C'vu ! tL C'vu tL
w −#F G} = e. Then b = 1 − #! be
C y'zL
C'v u tL
Let
∴ _C = = =< w− F G} „'ƒ =< F− ! G be
C C y'zL ƒ ˆu
!stL ! tL
C y'zL !
= =< …− F G ‡ . √2‰
C
!stL ! tL
C y'zL !
⟹ _C = = =< …− F G ‡ for −∞ < = < ∞
C
tL √!s ! tL
C {'zL !
_! = =< …− F G ‡ for −∞ < = < ∞
C
tu √!s ! tu
Hence ~• rC , !
C and ~• r! , !
! .
Note: If , ~ۥ rC , r! , C , ! , #
! !
, then ~• rC , !
C and ~• r! , !
!
_ =,
_C|! =| =
_!
y'zL ! {'zu !
= =< … UF G − 2# F GF G+F G 1 − 1 − #! †‡
C 'C y'zL {'zu
tL √!s C'vu ! C'vu tL tL tu tu
= =< w u x = − rC − 2# = − rC − r! + #! − r! ! |}
C 'C ! tL tLu
tL √!s C'v u ! C'vu tL tu tuu
!
= =< … u x = − rC − # − r! | ‡
C 'C tL
tL √!s C'vu ! C'vu tL tu
!
Therefore, _C|! =| = =< … u x = − rC − # − r! | ‡
C 'C tL
tL √!s C'vu ! C'vu tL tu
| = = rC + # − r! and
tL
tu
" | = = !
C 1 − #!
Thus, the c.p.d.f of for fixed is given by
C
| = ~• …rC + # − r! , !
C 1 − #! ‡
!
C 'C tu !
_!|C |= = =< … x − r! − # = − rC | ‡, −∞ < <∞
tu √!s C'vu ! C'vu tuu tL
!
| = = ~• …r! + # = − rC , !
! 1 − #! ‡
C
Solution:
!‘
Here rC = 5, r! = 10, !
C = 1, !
! = 25. We know that | = = ~••r,
where r = r! + # = − rC and = 1 − #! .
tu ! !
tL !
Here r = 10 + # × 5 − 5 = 10 and = 25 1 − #!
? !
C
9 9 16 4
⟹ 25 1 − #! = 9 ⟹ 1 − #! = ⟹ #! = 1 − = ⟹ # = = 0.8
25 25 25 5
Example 5: Find Z , for the jointly normal distribution
— 3T − 9 3 + 3T9˜
2
S T, 9 = YT– o− p , −∞ < =, <∞
3•√5 ™
We have
1 — 2= − !
+ 2= ˜
_ =, = =< o− p , −∞ < =, <∞
2‰√3 6
=! !
=
1 U !+ ! − 2# †
_ =, = =< •− ž— 3
C ! C !
2‰ C ! 1 − #! 2 1 − #!
1 − #! = 3 and =
v C
1 − #! = √3 , 1 − #! = ,
! 6 !
C ! C D ! tL tu C'vu 6
= 1 , = 4, #! =
! ! C
On solving we get C ! D
g , =#=K =±
C C
D !
Thus
—2™ T − 3 3
− 23 T − 3 9 + 5 + • 9 + 5 3 ˜
S T, 9 = YT– o− p
32™
Solution: If , ~ۥ rC , r! , C
!
, !
!
, # , then
¡¢£ u ¡¢£ ¥¢£ u ¥¢£ u
C UF ¤ L G '!vF ¤ L GF ¤ u G ¦F ¤ uG †
_ =, = =< − L L u u
§
!stL tu C'vu ! C'v u
9 1 12 2#
= , =
216 2 1 − #! !
! 216 2 C ! 1−#
!
∴ 1 − #! = , 1 − #! = 12 , 1 − #! = 18#
! !¨ !
C D ! C !
⟹ 1 − #! = 81 = 18# ⟹ #! = ,
! ! ! ! C
C ! D
Further, C = 3 and ! = 4.
Thus, = = =
C C C
!stL tu C'vu L C!s √6
!s×6×DKC'
P
∴ , ~€• F2,3,9,16, G
C
!
Example 7: If ~0 ©, 3
and |T ~0 T, 3
, show that
, ~‹0 ©, ©, 3
,3 3
, .
C y'z !
_ = = =< …− F G ‡ , −∞ < = < ∞
C
√!s t ! t
C {'y !
I |= = =< …− F G ‡ , −∞ < <∞
C
√!st ! t
1 1 =−r ! −= !
∴ ℎ =, =I |= _ = = =< …− UF G +F G †‡
2‰ ! 2
{'y ! {'z¦z'y ! {'z ! y'z !
Consider F G =F G =F G +F G − 2F GF G
y'z {'z
t t t t t t
C C y'z ! {'z ! y'z {'z
Thus, ℎ =, = =< …− U2 F G +F G − 2F GF G†‡
!stu ! t t t t
On solving, we get #! = =2 , =
C ! ! ! !
! ! C .
, ~ۥ Fr, r, !
,2 , G
! C
√!
Thus,
Solution: Given ¯ + ° + = 0 ⟹ ¯ +° + =0
∴ ¯• − ‘ + °• − ‘=0⟹• − ‘=− • − ‘
*
(
∴ , = •— − ˜— − ˜‘ = − − =−
* ! * !
( (
and
= − = − =
! ! *u ! *u !
(u (u
· · ·
' t¶ u ' t¶ u '
∴#= = = =
±²³ , ¸ ¸ ¸
t´ ∙t¶ ·u
·
¹¸¹t¶ u
·
¹ ¹
t¶ u K u t¶ u ¸
¸