6.
2 proof
Stephano Ricci
June 2024
Let α be a constant. We are trying to show that:
G2Z − (αDXZ GX + (1 − α)DY Z GY )GZ
= α2 G2X + (1 − α)2 G2Y + α(1 − α)GX GY (ΓXY + ΓY X )
we use the following properties:
a) GY = COV (Y, F (Y )
COV (Z,F (Y )
b) ΓZY = COV (Z,F (Y )
c) Dij = Γij − Γji
we are also given that Z = αX + (1 − α)Y
by a), we have GZ = COV (Z, F (Z)) = COV (αX + (1 − α)Y, F (Z))
= COV (αX, F (Z)) + COV ((1 − α)Y, F (Z))
= αCOV (X, F (Z)) + (1 − α)COV (Y, F (Z)) (By the properties of Covariance)
COV (X,F (Z))
*NOTE: By property b) ΓXZ = COV (X,F (X))
clearly, COV (X, F (Z)) = ΓXZ COV (X, F (X)) and from a), GX = COV (X, F (X))
By repeating this for COV(Y,F(Z)) we have:
GZ = αΓXZ GX + (1 − α)ΓY Z GY
By rearranging property c) we get: Γij = Dij + Γji . Applying it to our equation
gives:
GZ = α(DXZ + ΓZX )GX + (1 − α)(DY Z + ΓZY )GY (*This line was incorrect
in the given proof). By distributing terms, we have:
1
GZ = αDXZ GX + αΓZX GX + (1 − α)DY Z GY + (1 − α)ΓZY GY which can be
rearranged to get:
GZ − αDXZ GX − (1 − α)DY Z GY = αΓZX GX + (1 − α)ΓZY GY or simply,
GZ − (αDXZ GX + (1 − α)DY Z GY ) = αΓZX GX + (1 − α)ΓZY GY (Eq. 1)
we now must find expressions for ΓZX and ΓZY
COV (Z,F (X))
from b) we know ΓZX = COV (Z,F (Z)) and from a) the denominator simplifies
to GZ . simplifying the numerator gives:
COV (αX + (1 − α)Y, F (X)) = COV (αX, F (X)) + COV ((1 − α)Y, F (X))
= αCOV (X, F (X)) + (1 − α)COV (Y, F (X))
Clearly, from a) we have: GX = COV (X, F (X))
COV (Y,F (X))
from b) we know ΓY X = COV (Y,F (Y )) and since GY = COV (Y, F (Y )) we have:
COV (Y, F (X)) = ΓY X GY and..
αGX +(1−α)ΓY X GY
ΓZX = GZ
We now use a similar method to find ΓZY
COV (Z,F (Y )) COV (αX+(1−α)Y,F (Y )) COV (αX,F (Y ))+COV ((1−α)Y,F (Y ))
ΓZY = COV (Z,F (Z)) = GZ = GZ
αΓXY GX +(1−α)GY
= GZ We now sub in ΓZX and ΓZY into eq.1
GZ −(αDXZ GX +(1−α)DY Z GY ) = α( αGX +(1−α)Γ
GZ
Y X GY
)GX +(1−α)( αΓXY GXG+(1−α)G
Z
Y
)GY
by simplifying....
α2 G2X +α(1−α)ΓY X GX GY +α(1−α)ΓXY GX GY +(1−α)2 G2Y
GZ −(αDXZ GX +(1−α)DY Z GY ) = GZ
α2 G2X +α(1−α)GX GY (ΓXY +ΓY X )+(1−α)2 G2Y
GZ − (αDXZ GX + (1 − α)DY Z GY ) = GZ
Finally, by multiplying both sides by GZ we have:
G2Z −(αDXZ GX +(1−α)DY Z GY )GZ = α2 G2X + α(1 − α)GX GY (ΓXY + ΓY X ) + (1 − α)2 G2Y
as desired.
QED
