let f(x) be a density on R+ (so f(x) < 0 if x < 0). Let g(x,y) = f(x+y)/(x+y), x > 0, y> 0
a) show g is a density on R^2
b) assume that the expectation u and variance sigma^2 associated univariate density f exist and that mu^2 does not equal 2sigma^2. Show that X and Y are dependent.
I have part a done. As for part b I am terribly confused. I first took the question as meaning E[X] = mu and E[Y] = mu. Then I assume that X,Y were independent for a proof by contradiction. So, E[XY] = mu^2 and Var(X+y) = 2sigma^2 (since cov(X,Y) = 0 and also assuming Var(X) = sigma^2 = Var(Y)). Then from the question we would assume that E[XY] does not equal Var(X+Y) from which I got nowhere.
So I thought I would have to go back and play with the joint density g(x,y) and use the definition of independence for a joint density: g(x,y) = g_Y(y) g_X(x) except I have no clue on how to the integral for either marginal.
Any hints as to how to attack this problem would be greatly appreciated