问题如下:
Consider the following linear regression model: Y=a+bX+e. Suppose a=0.05, b=1.2, SD(Y) = 0.26, and SD(e) = 0.1. What is the correlation between X and Y?
选项:
A.0.923
B.0.852
C.0.701
D.0.462
解释:
We can find the volatility of X from the variance decomposition, Equation: . This gives . Then SD(X) = 0.2, and .
计算出x的sd之后求correlation的那个公式是哪个考点?
为什么correlation等于SD(x)*b/SD(Y)