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ABy Admin
Jun 02'22

Exercise

Let [math]X,Y[/math] be any two random variables. Which of the following statements is always true:

  1. [math]|\operatorname{Cov}(X,Y)| \lt |\operatorname{Cov}(\operatorname{E}[X | Y],Y)|[/math]
  2. [math]|\operatorname{Cov}(X,Y)| \gt |\operatorname{Cov}(\operatorname{E}[X | Y],Y)|[/math]
  3. [math]\operatorname{Cov}(X,Y) = \operatorname{Cov}(\operatorname{E}[X | Y],Y)[/math]
  4. If [math]\operatorname{Cov}(\operatorname{E}[X | Y],Y) = 0[/math] then [math]X [/math] and [math]Y[/math] are independent.
  5. If [math]\operatorname{Cov}(X,Y) = \operatorname{Cov}(\operatorname{E}[X | Y],Y)[/math] for every [math]Y[/math] then [math]X = \operatorname{E}[X | Y][/math].
ABy Admin
Jun 02'22

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