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Covariance of a squared radius and its complement

Question

Draw XX and YY independently from Unif(0,1)\text{Unif}(0,1), and set V=X2+Y2V=X^2+Y^2 and U=1−X2−Y2U=1-X^2-Y^2. Compute Cov⁡(U,V)\operatorname{Cov}(U,V).

Short answer

−8/45-8/45. Since U=1−VU=1-V, Cov⁡(U,V)=−Var⁡(V)=−2Var⁡(X2)\operatorname{Cov}(U,V)=-\operatorname{Var}(V)=-2\operatorname{Var}(X^2). With E[X2]=13E[X^2]=\tfrac13 and E[X4]=15E[X^4]=\tfrac15, Var⁡(X2)=15−19=445\operatorname{Var}(X^2)=\tfrac15-\tfrac19=\tfrac4{45}, so the covariance is −845-\tfrac8{45}.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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