X f y y dxdy g x f x x dx h y f y y dy g h y f y y dy

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x f Y y dxdy − − g x f X x dx h y f Y y dy − g h y f Y y dy g − h y f Y y dy g h 39
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As a special case, if E | X | , E | Y | , E XY E X E Y It follows immediately that when X and Y are independent, E XY 0 if either E X 0 or E Y 0. 40
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