Let x1, . . . ,Xn be uncorrelated, each with variance 2. Let Y1, . . .

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Let x1, . . . ,Xn be uncorrelated, each with variance σ2. Let Y1, . . . , Yn be positively correlated, each with variance σ2. Prove that the variance of X is smaller than the variance of Y .
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Probability And Statistics

ISBN: 9780321500465

4th Edition

Authors: Morris H. DeGroot, Mark J. Schervish

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