协方差的大小不会受到计量单位和数据均值水平的影响吗?

2025-06-25 08:30:28
推荐回答(1个)
回答1:

会~
cov(x,y) = E((x-Ex)(y-Ey))
cov(t*x,y) = E((t*x-E(t*x))(y-Ey)) = E((t*x-t*Ex)(y-Ey)) = t*E((x-Ex)(y-Ey)) = t*cov(x,y)
不受影响的是相关系数corr(x,y)