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Show that cov(X, < in the case where Var(X) O. Hints: Start with Cov(aX - W, ax - W ) Var(aX - b)' )
Show that cov(X, < in the case where Var(X) O. Hints: Start with Cov(aX - W, ax - W ) Var(aX - b)' ) > O. Expand the left-hand side with Theorem 5.4(b). Then substitute a = cov(X, Y) and b = Var(X).
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