I have two random variables $X$ and $Y$ with mean and standard deviation $(\mu_1,\sigma_1)$ and $(\mu_2,\sigma_2)$ respectively. I know that for perfect correlation the relationship is given by a linear regression. I also know that positive perfect correlation establishes that $\mu_2$ will be linear function of $\mu_1$. But is there a relationship between variances ? More specifically given $\mu_1,\sigma_1$ and $\mu_2$, can I evaluate what is the value of $\sigma_2$ ? You can assume normal distributions for $X$ and $Y$ if that helps.
Relationship between variances in perfect correlation
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statistics
correlation
2 Answers
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If two r.v.s $X,Y$ are perfectly correlated, $Y = mX+c$ for some constants $m,c$. So, $\mathbf{var}(Y) = m^2\mathbf{var}(X)$. Also $\mu_Y = m\mu_X+c$
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0@Amit certainly m>0 if there is perfect positive correlation, but it could be any number greater than zero. There's no way to calculate it with only the information given. – 2012-12-06
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If $X$ and $Y$ are perfectly positively correlated random variables, then all the probability mass lies on a line of slope $\frac{\sigma_Y}{\sigma_X}$ passing through the point $(\mu_X, \mu_Y)$. So, if you know the values of $\mu_X, \sigma_X$ anfd $\mu_Y$, you know one point on the line but cannot determine its slope (and hence the value of $\sigma_Y$) from just this information.