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Old October 21st, 2009, 11:20 AM
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Default Finding Covariance of Continuous Probability Distributions
Can someone guide me through this problem or suggest how to start?

Let X and Y denote the value of two stocks at the end of a five-year period. X is uniformly distributed on the interval (0,12). Given X = x, Y is uniformly distributed on the interval (0, x). Determine Cov( X, Y ) according to this model.
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Old October 22nd, 2009, 01:58 AM
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Originally Posted by Walcott89 View Post
Can someone guide me through this problem or suggest how to start?

Let X and Y denote the value of two stocks at the end of a five-year period. X is uniformly distributed on the interval (0,12). Given X = x, Y is uniformly distributed on the interval (0, x). Determine Cov( X, Y ) according to this model.
The first step would be to get the joint pdf.

Spoiler:
Hey, at least try to get it before looking!
Spoiler:
*Ahem* ....
Spoiler:
f(x, y) = \frac{1}{x} \cdot \frac{1}{12} for 0 < y < x < 12 and zero otherwise.
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