Question: Exercise 3.17 Let (X, Y ) be any bivariate normal random variable. For any differentiable function g(x) for which the following expectations exist, show that

Exercise 3.17 Let (X, Y ) be any bivariate normal random variable. For any differentiable function g(x) for which the following expectations exist, show that

When X = Y, in particular, obtain Stein’s lemma (Proposition 3.2).

C[g(X), Y] Eg' (X)]C[X, Y]. =

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