Econometrics HT 18

Chapter 9 : Moments of two or more random variables

By Lund University

Covariance and conditional expectations

Moments of two or more random variables

In the previous section we looked at a single random variable and its moments. In this section we will look at several random variables and the combined moments of two of them. First, we look at covariance, correlation and independence. Then, we look at conditional expectation and the conditional variance of one random variable given another. We end this section by looking at a sequence of random variables introducing the concept random sequence of random variables meaning that all the random variables in this sequence or independent and have the same distribution.

Covariance, correlation and independence (intro)

Conditional expectation and conditional variance, introduction

Sample as a sequence of random variables

Conditional expectations

Independence, conditional expectations and uncorrelatedness

Independence, conditional expectations and uncorrelatedness

Understanding conditional expectations