Let and be independent exponentially-distributed random variables of unit mean. Thus and have marginal probability density functions
and
Question 1.
Determine the correlation coefficient of and .
Answer: Since and are independent, it follows that and are uncorrelated. As such, .
Question 2.
Determine .
Answer: We have if and only if and . This is the product form event shown in the diagram. We can calculate the probability of this event by integrating the joint pdf. Since and are independent, the joint pdf is the product of the marginal pdfs.

We get
(since and are independent)
(since the marginal pdfs are zero for negative values of their argument)
.
Question 3.
Determine .
Answer: We have if or . This corresponds to the shaded region in the diagram below.

It is easier to integrate over the complementary region. Thus we find
.
Question 4.
Determine .
Answer: We have in the shaded region shown below.

Since the joint pdf is zero outside the first quadrant, we integrate only over the triangular region in the first quadrant to obtain:
Question 5.
Determine .
Answer: Expanding the square we get
(since and are independent, they are uncorrelated)
(since and have the same distribution)
(since has a variance of ).
(Why does have a variance of ? An exponential random variable with parameter , having a pdf when , has a mean of and a variance of . Here .)