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Covariance induced by a shared latent variable (Cov(A,B)=Var(g(T)))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Random variable Independent random variables Conditional independence
2026-10-06  0 By others on same topic  0 Discussions Create my own version
Let A,B be indicator random variables with conditional independence given a random variable T, and suppose E[A∣T]=E[B∣T]=g(T). Then the law of total expectation gives E[AB]=E[g(T)2] and E[A]=E[B]=E[g(T)]. Thus their covariance is the variance of g(T) and is nonnegative. The result explains correlated component evolutionary states in a coeval binary population without correlation between initial masses.

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  1. Conditional independence
  2. Independent random variables
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  • Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 322 / 1 / iii / Solution

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