Answer the following question.

Recall that the correlation px,y of two random variables X and Y is the covariance of the the rescaled random variables *, and X Y Cov (X, Y) EXY] - EX]EY] PX,Y = COV OX OY OXOY If E [X] = E[Y] = 0, then EXY] PX, Y = VEX' EY?] Extending to random vectors X with E [X] = 0, the correlation matrix is the covariance matrix of rescaled data X = (X1/01 X2/02 ... Xn/on) : X1/01 X2/02 E XX" = E (X1/01 X2/02 ... Xn/on ) Xn/on Xi Xi so that i, j-th entry of the correlation matrix is E Oi ojConcept Check: Correlation 1 point possible (graded) What is correlation px, x of a random variable X with itself? PX, X