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Math Help - Independence

  1. #1
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    Independence

    If X and Y are independent random variables, are X+Y and X-Y necessarily independent?

    I know this is true in the case of normal distributions, but I was wondering about the general case. To take it even further, is it true for all linear transformations (assuming it's true in the first place of course).
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  2. #2
    MHF Contributor matheagle's Avatar
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    Actually, you answered your own question.
    You said it was true in the normal case, well that's not entirely true.
    Independence is equivalent to the covariance being zero if the joint distribution is normal.
    And you do get a zero covariance if you have equal variances of X and Y....
    Cov(X+Y,X-Y)=V(X)-V(Y).
    So let X and Y be indep Normals with different variances.
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