A couple of useful formulae for normal random variables

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Reference no: EM131231681

The goal of this problem is to prove rigorously a couple of useful formulae for normal random variables

1. Show that,

and use this formula to recover the well known fact

whenever X ∼ N(µ, σ2)

2. We now assume that X and Y are jointly-normal mean-zero random variables and that h is ANY function. Prove that:

Reference no: EM131231681

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