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E(aX) = aE(X), and Var(aX) = a2Var(X) (3) For any two rvs X and Y E(X Y) = E(X)E(Y) (4) If X and Y are independent, then Var(X Y) = Var(X)Var(Y) (5) The above properties generalize in the obvious fashion to to any finite number of rvs In general (independent or not) Var(X Y) = Var(X)V(Y)2Cov(X,Y), where Cov(X,Y) def= E(XY)−E.
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