ans Theorem 9.3. Let X and Y be independent random variables with finite variances, and a, b ER. Then Var(aX) = a²Var (X), Var (X + Y) = VarX + Var Y, Var (ax + bY) = a²VarX+ b²Var Y.
ans Theorem 9.3. Let X and Y be independent random variables with finite variances, and a, b ER. Then Var(aX) = a²Var (X), Var (X + Y) = VarX + Var Y, Var (ax + bY) = a²VarX+ b²Var Y.
A First Course in Probability (10th Edition)
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Theorem 9.3. Let X and Y be independent random variables with finite
variances, and a, b ER. Then
Var(aX) = a²Var (X),
Var (X+Y) = VarX + Var Y,
Var (ax + bY) = a²VarX + b²Var Y.
sercise Prove the theorem.
Remark 9.2. Independence is sufficient for the variance of the sum to be equal to
the sum of the variances, but not necessary.
Remark 9.3. Linearity should not hold, since variance is a quadratic quantity.
Remark 9.4. Note, in particular, that Var (-X) = Var(X). This is as expected,
since switching the sign should not alter the spread of the distribution.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F9f3ef15f-5a73-47dc-8f07-dc2094065988%2Ff53baec7-5e06-426e-9358-ed7bb54963ff%2Faoc781_processed.jpeg&w=3840&q=75)
Transcribed Image Text:ans
Theorem 9.3. Let X and Y be independent random variables with finite
variances, and a, b ER. Then
Var(aX) = a²Var (X),
Var (X+Y) = VarX + Var Y,
Var (ax + bY) = a²VarX + b²Var Y.
sercise Prove the theorem.
Remark 9.2. Independence is sufficient for the variance of the sum to be equal to
the sum of the variances, but not necessary.
Remark 9.3. Linearity should not hold, since variance is a quadratic quantity.
Remark 9.4. Note, in particular, that Var (-X) = Var(X). This is as expected,
since switching the sign should not alter the spread of the distribution.
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