Hello. Could someone please help with this problem please?
Show that Cov (X,Y) = Cov (X, E(Y|X))
Using Property: E(U) = E [ E(U|V) ]]
I know that Cov (X,Y) = E (XY) - E(X)E(Y) as the first step but how do I use the property given in the question? Thanks.