The Student Room Group

Variance of independent random variables

If X and Y are independent random variables then

Var(X+Y)=Var(X)+Var(Y)

Now if X and Y are independent and identically distributed

Var(X+Y)=Var(2X)=4Var(X)

but using the first formula we would get 2Var(X)

why is this?
Original post by darren86
If X and Y are independent random variables then

Var(X+Y)=Var(X)+Var(Y)

Now if X and Y are independent and identically distributed

Var(X+Y)=Var(2X)=4Var(X)

but using the first formula we would get 2Var(X)

why is this?


Var(X+Y)Var(2X)Var(X+Y)\not=Var(2X)

If you have X+X, then the second X is not independent of the first X.
Reply 2
Original post by ghostwalker
Var(X+Y)Var(2X)Var(X+Y)\not=Var(2X)

If you have X+X, then the second X is not independent of the first X.


Thanks!

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