概率论与数理统计
X、Y为两个独立的随机变量,其各自的期望,方差均已知,D(XY)=?
D(XY) = E{[XY-E(XY)]^2}
= E{X²Y²-2XYE(XY)+E²(XY)}
= E(X²)E(Y²)-2E²(X)E²(Y)+E²(X)E²(Y)
= E(X²)E(Y²)-E²(X)E²(Y)
如果 E(X) = E(Y) = 0,
那么 D(XY) = E(X²)E(Y²) = D(X)D(Y),
也就是说当 X,Y独立,且X,Y的数学期望均为零时,X,Y乘积 XY的方差D(XY)等于:
D(XY) = D(X)D(Y)