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Correlation of two sums sharing a common term

Question

Let XX, YY, ZZ be pairwise uncorrelated with variances 6464, 3636 and 225225 respectively. Put U=X+YU=X+Y and V=X+ZV=X+Z. What is the correlation between UU and VV?

Short answer

3285\tfrac{32}{85}. Only the shared term contributes covariance: Cov(U,V)=Var(X)=64\text{Cov}(U,V)=\text{Var}(X)=64. The variances are 64+36=10064+36=100 and 64+225=28964+225=289, so ρ=6410⋅17=3285\rho=\tfrac{64}{10\cdot17}=\tfrac{32}{85}.

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