(a) Let Y and Z be independent discrete random variables taking values in sets S1 and S2 respectively, and let F:S1×S2→R be a function.
Let E(z)=EF(Y,z). Show that
EE(Z)=EF(Y,Z).
Let V(z)=E(F(Y,z)2)−(EF(Y,z))2. Show that
VarF(Y,Z)=EV(Z)+VarE(Z)
(b) Let X1,…,Xn be independent Bernoulli (p) random variables. For any function F:{0,1}→R, show that
VarF(X1)=p(1−p)(F(1)−F(0))2
Let {0,1}n denote the set of all 0−1 sequences of length n. By induction, or otherwise, show that for any function F:{0,1}n→R,
VarF(X)⩽p(1−p)i=1∑nE((F(X)−F(Xi))2)
where X=(X1,…,Xn) and Xi=(X1,…,Xi−1,1−Xi,Xi+1,…,Xn).