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337概率简单数值题short

Robust Variance of a Difference of Independent Variables

题目

Let XX and YY be independent random variables with Var(X)=4\operatorname{Var}(X) = 4 and Var(Y)=9\operatorname{Var}(Y) = 9. A student claims that SD(XY)=SD(X)SD(Y)=23=1\operatorname{SD}(X - Y) = \operatorname{SD}(X) - \operatorname{SD}(Y) = 2 - 3 = -1. Find the correct value of Var(XY)\operatorname{Var}(X - Y) and SD(XY)\operatorname{SD}(X - Y), and explain the student's error.

Additional robustness twist: before observation, an independent random relabeling of outcome labels is applied. Compute the same target and justify invariance.

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Var(X - Y)

SD(X - Y)