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Variance of a linear combination from a triangular density

Question

The random pair (X1,X2)(X_1,X_2) has joint density f(x1,x2)=c (1−x2)f(x_1,x_2)=c\,(1-x_2) on the region 0≤x1≤x2≤10\le x_1\le x_2\le 1, and zero elsewhere, where cc is the constant that makes ff integrate to one. Find Var⁡(2X1−4X2)\operatorname{Var}(2X_1-4X_2).

Short answer

11/2011/20. Normalising gives c=6c=6. Then E[X1]=14E[X_1]=\tfrac14, E[X2]=12E[X_2]=\tfrac12, Var⁡(X1)=380\operatorname{Var}(X_1)=\tfrac{3}{80}, Var⁡(X2)=120\operatorname{Var}(X_2)=\tfrac1{20} and Cov⁡(X1,X2)=140\operatorname{Cov}(X_1,X_2)=\tfrac1{40}, so the variance is 4⋅380+16⋅120−16⋅140=11204\cdot\tfrac3{80}+16\cdot\tfrac1{20}-16\cdot\tfrac1{40}=\tfrac{11}{20}.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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