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(Solved): This exercise provides an example of a pair of random variables, X and Y, for which the conditional ...



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This exercise provides an example of a pair of random variables, and , for which the conditional mean of given depends on but . Let and be two independently distributed standard normal random variables, and let . c. Show that . (Hint: Use the fact that the odd moments of a standard normal random variable are all 0 .) d. Show that and thus .


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