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October 13th, 2017, 12:26 PM   #1
ZMD
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Expected Value

Suppose A and B are discrete random variables.
They have mean 0 and variance 1.
Let C =max(A$^2,B^2$)

Find:
1. E[Z] ≤ 2
2. p=cov(A,B). Prove that E[Z] ≤ 1-√1−p$^2$

I've done part 1, need help for part 2.
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October 13th, 2017, 01:49 PM   #2
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The problem as stated looks funny. If p=0, then E(Z)=0, which cannot be. (I presume Z and C are the same).
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October 13th, 2017, 01:55 PM   #3
ZMD
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Quote:
Originally Posted by mathman View Post
The problem as stated looks funny. If p=0, then E(Z)=0, which cannot be. (I presume Z and C are the same).
Yes they are. Don't know why I wrote Z instead of C. My mistake.
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