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91Ó°ÊÓ

If Xand Y are independent and identically distributed with mean μand variance σ2, find

E(X−Y)2

Short Answer

Expert verified

The value of E(X−Y)2is

E(X−Y)2=2σ2

Step by step solution

01

Step 1:Given Information

XandYare autonomous and identically allocated with meanμand variance σ2.

02

Step 2:Explanation

E[X]=E[Y]=μ

Var(X)=Var(Y)=σ2

Var(X)=EX2−(E[X])2

EX2=Var(X)+(E[X])2

=σ2+μ2

X and Y are independent,

E(X−Y)2=EX2−2XY+Y2

=EX2−2E[X]E[Y]+EY2

=σ2+μ2−2μμ+σ2+μ2

=2σ2+2μ2−2μ2

=2σ2

03

Step 3:Final Answer

E(X−Y)2=2σ2

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