Covariance and Correlation Coefficient for Discrete Random Variables
Free SOA Exam P (Probability) lesson in Multivariate Random Variables. 15 min read, ~2,319 words.
Covariance:; a positive value means they move together. Correlation:, always bounded. does NOT imply independence: it captures only linear association. Variance of sum:. Independence implies zero covariance, but the converse fails under nonlinear dependence. With identical marginals, correlation simplifies to. Recover covariance from three variances:, no joint table needed.
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- 3e
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