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3. Independence is a stronger condition that uncorrelated: Recall that X , Y are called
uncorrelated if E ( X Y ) = E ( X ) E ( Y ) ; they are called independent if P ( X = x , Y = y ) = P (
X = x ) P ( Y = y ) for all x , y . Let X have a Bernoulli ( 1/2 ) distribution; P ( X = 1 ) = P ( X =
0 ) = 1/2 . Let Z have the distribution P ( Z = 1 ) = P ( Z = 1 ) = 1/2 . Let Y = XZ . Show that X
and Y are not independent but are uncorrelated.

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  • 1. 3. Independence is a stronger condition that uncorrelated: Recall that X , Y are called uncorrelated if E ( X Y ) = E ( X ) E ( Y ) ; they are called independent if P ( X = x , Y = y ) = P ( X = x ) P ( Y = y ) for all x , y . Let X have a Bernoulli ( 1/2 ) distribution; P ( X = 1 ) = P ( X = 0 ) = 1/2 . Let Z have the distribution P ( Z = 1 ) = P ( Z = 1 ) = 1/2 . Let Y = XZ . Show that X and Y are not independent but are uncorrelated.