Covariance of exponential X and lognormal Y given X
Question
Let be exponential with rate , and conditionally on let be normal with mean and variance . Compute .
Short answer
. Conditionally . Then (the exponential MGF at ) and . So the covariance is .
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Open the worked solutionLessons behind this question
- Conditional Expectation and Variance Revisited
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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