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Covariance under a triangular density c(1 minus y)

Question

Random variables X1,X2X_1,X_2 have joint density c(1−x2)c(1-x_2) on the triangle 0≤x1≤x2≤10\le x_1\le x_2\le1 and zero elsewhere, where cc is the normalising constant. Find Cov⁡(X1,X2)\operatorname{Cov}(X_1,X_2).

Short answer

1/401/40. Normalising gives c=6c=6. Integrating out x1x_1 yields the weight 6x2(1−x2)6x_2(1-x_2), from which EX2=12\mathbb{E}X_2=\tfrac12, EX1=∫013x22(1−x2) dx2=14\mathbb{E}X_1=\int_0^1 3x_2^2(1-x_2)\,dx_2=\tfrac14 and EX1X2=∫013x23(1−x2) dx2=320\mathbb{E}X_1X_2=\int_0^1 3x_2^3(1-x_2)\,dx_2=\tfrac{3}{20}. Hence 320−18=140\tfrac{3}{20}-\tfrac18=\tfrac{1}{40}.

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

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