On Mon, 21 Mar 2011, Tom Nielsen wrote:
sampler = do
x <- gauss 0.0 1.0
y <- gauss 0.0 1.0
return $ (2*x, x+y)
main = do
xys <- take 100000 `fmap` runSamplerIO sampler
print $ runStat
(both (before varF fst) (before varF snd)) $
xys
=> (3.9988971177326498,2.0112123117664975)
that is, (variance of 2*x, variance of x+y)
Variances of independent random variables (here x and y) are additive, for
dependent variables (say, x and x) this does not hold.
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