[問題] 請問一個 Correlation of two normal 的問題
兩個 independent Normal Variables Z1, Z2
let X1 = σ1 √T Z1
X2 = σ2 √T (ρZ1 + √(1-ρ^2) Z2)
prove correlation of X1 and X2 is ρ
請問各位高手 這題要怎麼證呢 謝謝
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03/02 15:50, , 1F
03/02 15:50, 1F