Question
If $X_1$ and $X_2$ have the same probability distribution function, show that$$\operatorname{Cov}\left(X_1-X_2, X_1+X_2\right)=0$$Note that independence is not being assumed.
Step 1
$$ We will use this definition to find $\operatorname{Cov}(X_1 - X_2, X_1 + X_2)$. Show more…
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