We are given two uncorrelated random variables, $\epsilon$ and $\lambda$, with variances $Var[\epsilon] = 2$ and $Var[\lambda] = 3$. We want to find the variance of the linear combination $3\epsilon + \lambda$.

Probability and StatisticsVarianceRandom VariablesLinear CombinationUncorrelated Variables
2025/5/14

1. Problem Description

We are given two uncorrelated random variables, ϵ\epsilon and λ\lambda, with variances Var[ϵ]=2Var[\epsilon] = 2 and Var[λ]=3Var[\lambda] = 3. We want to find the variance of the linear combination 3ϵ+λ3\epsilon + \lambda.

2. Solution Steps

Since ϵ\epsilon and λ\lambda are uncorrelated random variables, the variance of their sum is the sum of their variances.
Also, the variance of a constant times a random variable is the square of the constant times the variance of the random variable.
The formula for the variance of a linear combination of uncorrelated random variables is:
Var[aX+bY]=a2Var[X]+b2Var[Y]Var[aX + bY] = a^2 Var[X] + b^2 Var[Y], where XX and YY are uncorrelated.
In our case, we have Var[3ϵ+λ]Var[3\epsilon + \lambda].
Let a=3a = 3, X=ϵX = \epsilon, b=1b = 1, and Y=λY = \lambda.
Var[3ϵ+λ]=32Var[ϵ]+12Var[λ]Var[3\epsilon + \lambda] = 3^2 Var[\epsilon] + 1^2 Var[\lambda]
Var[3ϵ+λ]=9Var[ϵ]+Var[λ]Var[3\epsilon + \lambda] = 9 Var[\epsilon] + Var[\lambda]
We are given that Var[ϵ]=2Var[\epsilon] = 2 and Var[λ]=3Var[\lambda] = 3.
Substituting these values, we get:
Var[3ϵ+λ]=9(2)+3=18+3=21Var[3\epsilon + \lambda] = 9(2) + 3 = 18 + 3 = 21.

3. Final Answer

The variance of 3ϵ+λ3\epsilon + \lambda is
2
1.
Final Answer: The final answer is 21\boxed{21}

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