6 Jointly continuous random variables
www.math.arizona.edu › ~tgk › 464_f17compute the density of Z from the joint density of X and Y. We could then compute the mean of Z using the density of Z. Just as in the discrete case there is a shortcut. Theorem 1. Let X,Y be jointly continuous random variables with joint density f(x,y). Let g(x,y) : R2 → R. Define a new random variable by Z = g(X,Y). Then E[Z] = Z ∞ − ...