Problem 1

To prove: For two continuous random variables and

( + ) = () + () + 2(, )
Proof:
Variance of a random variable, , can be given as:
() = [( )2 ] = [ 2 + 2 2 ] = [ 2 ] 2
(1)
In the above equation, [] represents the expectation operation and is the mean of the variable .
The mean of + can be obtained as
+ = [ + ] = [] + [] = +
(2)
Using, Equation 1, the variance of + can be written as
( + ) = [( + + )2 ]
(3)
In Equation 3, expanding the expression within the expectation operator yields the following expression
for ( + )
2
( + ) = [ 2 + 2 + +
+ 2 2+ 2+ ]
(4)
Using the expression for + from Equation 2, the above equation can be rewritten as:
( + ) = [ 2 + 2 + 2 + 2 + 2 + 2 2 2 2 2 ]
(5)
Simplifying the above equation, the following equation is obtained
( + ) = [ 2 ] 2 + [ 2 ] 2 2 + 2[]
(6)
Using the expression for variance of a random variable given in Equation 1, the above equation can be
simplified as:
( + ) = () + () + 2[] 2
(7)
Covariance of and can be written as:
(, ) = [( )( )] = [ + ] = []
(8)
Using Equations 7 and 8, the expression for ( + ) can be finally obtained as
( + ) = () + () + 2(, )
(9)