Suppose that the bivariate random variable W = (W1,W2)™ has a Gaussian distribution on R² with zero mean and variance-covariance matrix given by 1 -0.7 -0.7 1 ()- 1 and c = 2 (;) Let b = Define random variables (X, Y) by X = b"W,Y = c™W. Find cov(X, Y). Give your answer in 4 decimal places. Answer:

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Suppose that the bivariate random variable W = (W1,W2)" has a Gaussian
distribution on R² with zero mean and variance-covariance matrix given by
1
-0.7
-0.7
1
(:)-
(;)
Let b =
1
and c=
Define random variables (X, Y) by X = b"W,Y = cTW.
Find cov(X, Y). Give your answer in 4 decimal places.
Answer:
Transcribed Image Text:Suppose that the bivariate random variable W = (W1,W2)" has a Gaussian distribution on R² with zero mean and variance-covariance matrix given by 1 -0.7 -0.7 1 (:)- (;) Let b = 1 and c= Define random variables (X, Y) by X = b"W,Y = cTW. Find cov(X, Y). Give your answer in 4 decimal places. Answer:
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