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If X and Y are independent random variables both with the same mean (0) and variance, how about $X^2$ and $Y^2$? I tried calculating E($X^2Y^2$)-E($X^2$)E($Y^2$) but haven't been able to get anywhere.

Jarris
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  • They must be independent. How could you calculate $E(X^2Y^2)$? – Berci Oct 24 '12 at 21:37
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    If $X$ and $Y$ are independent, then so are $g(X)$ and $h(Y)$ for (measurable) functions $g(\cdot)$ and $h(\cdot)$. Means and variances don't come into the picture and your attempted calculation of $\text{cov}(X^2,Y^2)$ will not prove independence even though the covariance will turn out to be $0$. – Dilip Sarwate Oct 24 '12 at 21:41
  • Thank you! That's very helpful to know. – Jarris Oct 24 '12 at 21:56
  • @Dilip: You could post that as an answer so the question doesn't remain unanswered. – joriki Oct 24 '12 at 22:42
  • @DilipSarwate what's measurable in elem probability? https://math.stackexchange.com/questions/3944284/prove-that-for-independent-random-variables-x-i-we-have-f-ix-i-are-indepe – BCLC Dec 11 '20 at 12:34
  • @joriki what's measurable in elem probability? https://math.stackexchange.com/questions/3944284/prove-that-for-independent-random-variables-x-i-we-have-f-ix-i-are-indepe – BCLC Dec 11 '20 at 12:34

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As per joriki's suggestion, my comment (with additional information) is posted as an answer.

If $X$ and $Y$ are independent, then so are $g(X)$ and $h(Y)$ independent random variables for (measurable) functions $g(⋅)$ and $h(⋅)$. In particular, $X^2$ and $Y^2$ are independent random variables if $X$ and $Y$ are independent random variables. Means and variances don't come into the picture at all, and your attempted calculation of $\text{cov}(X^2,Y^2)$ will not prove independence even though the covariance will turn out to be $0$.

Dilip Sarwate
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    "In particular, $X^2$ and $Y^2$ are independent random variables if $X^2$ and $Y^2$ are independent random variables." I am 99% sure that this should read "In particular, $X^2$ and $Y^2$ are independent random variables if $X$ and $Y$ are independent random variables"? – Silverfish Nov 06 '13 at 00:20
  • @Silverfish You are absolutely correct. Thanks for proof-reading carefully. I have corrected the typos. – Dilip Sarwate Nov 06 '13 at 02:13
  • What's 'measurable' in elementary probability? see here: https://math.stackexchange.com/questions/3944284/prove-that-for-independent-random-variables-x-i-we-have-f-ix-i-are-indepe – BCLC Dec 11 '20 at 12:28