Question: Exercise 3.16 Let (X, Y ) be any bivariate normal random variable. For any function f(x) for which the following expectations exist, show that where

Exercise 3.16 Let (X, Y ) be any bivariate normal random variable. For any function f(x) for which the following expectations exist, show that

E [(X) eY] = E [eY] E[(X C[X, Y])], -

where C[X, Y ] denotes the covariance between X and Y .

E [(X) eY] = E [eY] E[(X C[X, Y])], -

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