Given:

I needed to calculate the Cov(X,Y).

So I used the formula Cov(X, Y) = E(XY) - E(X)E(Y)

The problem occurs when I go to calculate E(X).

I know

Where the marginal pdf of x is .

So the integral now is:

Now when I evaluate that integral I get a divergent integral evaluating to . I've checked my work several times, but I can't seem to find what I'm doing wrong. Any suggestions?

Thanks in advance.