Original practice · fully worked
Original variant: zero covariance under conditional scale dependence
A sign variable X equals -1 or 1 with equal probability. Conditional on X=-1, a reading Y equals -1 or 1 with equal probability; conditional on X=1, Y equals -3 or 3 with equal probability. Calculate Cov(X,Y).
- A
-0.750 - B
0 - C
0.750 - D
2.000 - E
4.000
Answer and calculation
Each conditional distribution of Y is centered at zero, so E[Y]=E[XY]=0 and Cov(X,Y)=0. The variables remain dependent because the magnitude of Y identifies X, making choice B correct.
Setup
Setup
List the four equally likely joint outcomes and their products.
(X,Y)∈{(−1,−1),(−1,1),(1,−3),(1,3)} XY∈{1,−1,−3,3} Model
Model
Both marginal means vanish by conditional symmetry.
E[Y∣X=−1]=E[Y∣X=1]=0⟹E[Y]=0 Compute
Compute
Average the four products and subtract the product of the means.
E[XY]=41−1−3+3=0 Cov(X,Y)=E[XY]−E[X]E[Y]=0 Answer
Answer
The covariance is zero even though the variables are dependent.
Pr(∣Y∣=3∣X=1)=1=Pr(∣Y∣=3)=21 0(B)