Show that y has mean zero and variance 1

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Reference no: EM131231689

This elementary exercise is intended to give an example showing that lack of correlation does not necessarily mean independence!

Let us assume that X ∼ N(0, 1) and let us define the random variable Y by:

1. Compute 𝔼{|X|}

2. Show that Y has mean zero, variance 1, and that it is uncorrelated with X.

Reference no: EM131231689

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