the variance of the sum of XiUi if the variance of ui depends on Xi
I am told that the variance of Ui given x is sigma squared times Xi and that the covariances between all ui is equal to sigma squared
if I want the variance of and I break it down so i have the variance of (from i=2 to n) I will end up having to compute
Can I take x out of the summation if the variance of u is dependent on x?
ie can I do this
Re: the variance of the sum of XiUi if the variance of ui depends on Xi
You won't be able to do that in general. Are these distributions joint Normal? If so do they have a covariance structure?
Remember that you stated Var[Ui|Xi=x] = sigma^2*Xi which is not in general equal to Var[Ui*Xi].