Let X and Y be two independent random variables. Which one of the relations between expectation (E), variance (Var) and covariance (Cov) given below is FALSE?
A
E(XY) = E(X) E(Y)
B
Cov (X, Y) = 0
C
Var (X + Y) = Var (X) + Var (Y)
D
E(X<sup>2</sup>Y<sup>2</sup>) = (E(X))<sup>2</sup> (E(Y))<sup>2</sup>
Correct Answer: E(X<sup>2</sup>Y<sup>2</sup>) = (E(X))<sup>2</sup> (E(Y))<sup>2</sup>