Feasible correlation range for a third pair
Question
For three random variables , , we know and , where denotes correlation. The set of values can take turns out to be an interval . Find as a reduced fraction.
Short answer
. Any correlation matrix must be positive semi-definite. With the determinant equals , which is non-negative exactly for (the leading minor is already positive).
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Open the worked solutionLessons behind this question
- Covariance and Correlation
- Sample Spaces, Events, and the Probability Axioms
- Conditional Probability, Total Probability, and Bayes' Rule
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