NO.PZ2016062402000020
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 .
请问这个题为什么不能用correlation = COV(x,y) / SDxSDy 来求?还是不太明白