MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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4. The sample covariance of two random variables X and Y in a sample of size n is given by
n
1
SXY =
(X; - X)(Y; – Ỹ).
п — 1
i=1
The sample correlation is then given by
SXY
rXY =
sx sY
where sx and sy are the sample standard deviations of X and Y, respectively.
(a) Show that the regression R? in the regression of Y on X is the squared value of the sample
correlation between X and Y. That is, show that R? = ry.
(b) Show that the R2 from the regression of Y on X is the same as the R2 from the regression of X
on Y.
(c) Show that
Bi =
Sy
= rXY
SX
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Transcribed Image Text:4. The sample covariance of two random variables X and Y in a sample of size n is given by n 1 SXY = (X; - X)(Y; – Ỹ). п — 1 i=1 The sample correlation is then given by SXY rXY = sx sY where sx and sy are the sample standard deviations of X and Y, respectively. (a) Show that the regression R? in the regression of Y on X is the squared value of the sample correlation between X and Y. That is, show that R? = ry. (b) Show that the R2 from the regression of Y on X is the same as the R2 from the regression of X on Y. (c) Show that Bi = Sy = rXY SX
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