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covariance of metagaussian gamma rv
X, Y ~ Gamma ( a1 , b1), Gamma ( a2 , b2)X, Y are linked via a gaussian copula with correlation parameter rquestion: cov ( X , Y ) = ?
covariance of metagaussian gamma rv
Just looking at wiki,wouldn't that be r * (a1)^(1/2)*b1 * (a2)^(1/2)*b2 ?
Last edited by halik on November 19th, 2010, 11:00 pm, edited 1 time in total.
covariance of metagaussian gamma rv
no, that is simply the product of r and the standard deviations of X and Y, which will not give the covariance in this case.thanks anyway.