- #1
quema
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Hi,
If [tex]X[/tex] and [tex]Y[/tex] are two random variables. Let [tex]Z=max\left\{{X,Y}\right\}[/tex]. Can I write:
[tex]E(X-Y)max\left\{{X,Y}\right\}=E(X-Y)X1_{\left\{{X\geq{}Y}\right\}}+E(X-Y)Y1_{\left\{{X\leq{}Y}\right\}}[/tex]
Do I need to assume that both random variables are independent?
Thanks.
If [tex]X[/tex] and [tex]Y[/tex] are two random variables. Let [tex]Z=max\left\{{X,Y}\right\}[/tex]. Can I write:
[tex]E(X-Y)max\left\{{X,Y}\right\}=E(X-Y)X1_{\left\{{X\geq{}Y}\right\}}+E(X-Y)Y1_{\left\{{X\leq{}Y}\right\}}[/tex]
Do I need to assume that both random variables are independent?
Thanks.