Random variables are not jointly normal

Reference no: EM131830197

Let X ∈ N(0, 1), let Z be a coin-tossing random variable, independent of X; P(Z = 1) = P(Z = -1) = ½ . Set Y = Z · X. Prove that X and Y are both (standard) normal, but that the random variables are not jointly normal.

Reference no: EM131830197

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