NO.PZ2016062402000004
问题如下:
Suppose that A and B are random variables, each follows a standard normal distribution, and the covariance between A and B is 0.35. What is the variance of (3A+2B)?
选项:
A.14.47
B.17.20
C.9.20
D.15.10
解释:
The variance is =9×1+ 4×1+ 12ⅹ0.35 =17.2.
V(3A+2B)=32
V(A)+22
V(B)+2×3×2Cov(A,B) =9×1+ 4×1+ 12ⅹ0.35 =17.2.
为什么是va和vb = 1