Supposenbspxinbspandnbspzetanbspare two random variables
Suppose ξ and ζ are two random variables with E(ξ ) = E(ζ ) = 0. Show that var(ξ ) = E(ξ 2) and cov(ξ, ζ ) = E(ξ ζ ). Notes. More generally, var(ξ ) = E(ξ 2) - [E(ξ )]2 and cov(ξ, ζ ) = E(ξ ζ ) - E(ξ )E(ζ ).
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