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RealIllusion
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Joined: November 13th, 2003, 12:41 pm

standard deviation of a function of two variables

June 20th, 2005, 9:35 am

I'm wondering if anyone has a quick answer to the following question: Suppose we have two random variables x and y, with probability distributions f(x) and g(y), and a consider a function h(x, y) of x and y. Is there a general formula for the standard deviation of h in terms of x and y?
 
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erstwhile
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Joined: March 3rd, 2003, 3:18 pm

standard deviation of a function of two variables

June 20th, 2005, 9:59 am

are x and y independent?if you have the joint probability distribution p(x,y) then you would do a double integral over x and y to calculate an expectation.you would then just calculate SQRT( E(h^2) - (E(h))^2 ) to get the standard deviation