Question: Prove Theorem11.5. Hint: First, show that it is sufficient to show that E h X 0 X i E h X 0 1X i1 E

Prove Theorem11.5.

Hint: First, show that it is sufficient to show that E

h X

0 X

i³

E h

X 0

§¡1X i´¡1 E

h X

0 X

i

· E h

X 0

§X i

.

Second, rewrite this equation using the transformations U Æ §1/2X and V Æ §1/2X, and then apply the matrix Cauchy-Schwarz inequality (B.33).

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