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Clare · 2022年01月20日

这道题是在问常数a对covariance 和correlation的分别的影响吗?结果就是对correlation没有影响,对covariance放大a倍?

NO.PZ2020010304000034

问题如下:

What is the effect on the sample covariance between X and Y if X is scaled by a constant a?

What is the effect on the sample correlation?

选项:

解释:

The sample covariance is defined

1ni=1(XiX)(YiY)\frac{1}{n}\sum_{i=1} (X_i - \overline X)(Y_i - \overline Y).

Multiplying each Xi by a constant a will rescale the sample mean by a so that

1ni=1(aXiaX)(YiY)=1ni=1a(XiX)(YiY)=a1ni=1(XiX)(YiY)\frac{1}{n}\sum_{i = 1}(aX_i - a\overline X)(Y_i - \overline Y) =\frac{1}{n}\sum_{i = 1} a(X_i - \overline X)(Y_i - \overline Y) =a\frac{1}{n}\sum_{i = 1} (X_i - \overline X)(Y_i - \overline Y)

The final covariance is a times the original covariance. The correlation is then ρ=σXYσXσY\rho = \frac{\sigma_{XY}}{\sigma_X\sigma_Y} so that scaling XiX_i by a will produce ρ=aσXYaσXσY=σXYσXσY\rho = \frac{a\sigma_{XY}}{a\sigma_X\sigma_Y} = \frac{\sigma_{XY}}{\sigma_X\sigma_Y} and the samle correlation is invariant to rescaling the data.

这道题是在问常数a对covariance 和correlation的分别的影响吗?结果就是对correlation没有影响,对covariance放大a倍?

1 个答案
已采纳答案

品职答疑小助手雍 · 2022年01月20日

同学你好,题目问的是如果X扩大a倍的话,对covariance 和correlation的影响,结果是covariance变大a倍,ρ不变。