MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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Question 1
Consider two random variables X, Y (not necessarily independent), and two
(a)
real numbers a and b. Prove that Var(aX+bY) = a² Var(X)+b² Var(Y)+2ab Cov(X, Y).
(Hint: Use the properties of Cov() reviewed in class.)
Prove that E[{X - E(X)}²] = E(X²) – {E(X)}², i.e., the two expressions
(b)
for Var(X) are indeed equivalent.
Prove that E[{X – E(X | Y)}² | Y] = E(X² | Y) – {E(X | Y)}², i.e., the
two expressions for Var(X | Y) are indeed equivalent.
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Transcribed Image Text:Question 1 Consider two random variables X, Y (not necessarily independent), and two (a) real numbers a and b. Prove that Var(aX+bY) = a² Var(X)+b² Var(Y)+2ab Cov(X, Y). (Hint: Use the properties of Cov() reviewed in class.) Prove that E[{X - E(X)}²] = E(X²) – {E(X)}², i.e., the two expressions (b) for Var(X) are indeed equivalent. Prove that E[{X – E(X | Y)}² | Y] = E(X² | Y) – {E(X | Y)}², i.e., the two expressions for Var(X | Y) are indeed equivalent.
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