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Regarding mathematical statistics: Assume that ( X 1 , X 2 ) has a bivariate normal distribution where V ( X 1 ) = V

Regarding mathematical statistics:
Assume that (X1, X2) has a bivariate normal distribution where V(X1)= V(X2)=\sigma 2 and Cov(X1, X2)=0. Let
U = X1+ X2 and V = X1 X2. Show that U and V are independent random variables. (tip: Show that
Cov(U, V )=0 and from this conclude that they are independent.)

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