1

Coefficient of correlation between Z1 and Z2

Raphal Steenbergen, 15-01-2014
Many students did come with questions how to determine the coefficient of
correlation or the covariance of two limit state functions.
Below you find the elaboration that can be applied to whatever expression for Z 1
and Z2
We however use the example of the exam of April 2013

By definition it holds:

( Z 1 , Z 2 )=

cov ( Z 1 , Z 2 )
Z Z
1

Z Z
1

can be determined very easily or is even given in the question.

Problem is to determine
By definition it holds:

cov ( Z 1 , Z 2 ) .

cov Z1 , Z 2 E Z1 Z1 Z 2 Z 2

The elaboration is done below step by step for question 2b of the exam April
2013. The steps can be applied to different expressions of Z1 and Z2.
Given:

h Q
h
,1
hs Q c
hs
(h ) (Q)
( Z c )=1

hc
Qc

cov ( Z c , Z s ) =cov 1

( Z s)=1

(h)
hs

Solution:

h Q
h
h Q
h
cov Z C , Z S E 1
1

1 1

hc Qc
hc
Qc
hs
hs

We rewrite this expression:

h h Q Q
h h
cov Z C , Z S E

hc
Qc
Qc hs
hs
hc

2
We make groups of variables in combination with each time its mean value:

h h Q Q

cov Z C , Z S E

h
hc Qc
Qc
c

h h

hs hs

We now apply the multiplication:

h h
cov Z C , Z S E

hc
hc

h h
Q Q


hs
h s
Qc
Q
c

h
hs

hs

We recognize the expressions for the covariance and the variance:

h h

Q h
, cov

,
h
h
Q
c hs
c s

cov Z C , Z S cov

We elaborate this taking deterministic parameters outside:

cov Z C , Z S

Q h
1
cov h, h cov
,
hc hs
Qc hs

cov h, h var h, h h2

We know that
independent, so :

Q h
, 0
Qc hs

cov

We finally obtain:

cov Z C , Z S

h2
hc hs

and we also know that Q and h are