Thank, alan2 and Stephen. Alan2, I did mean normal distribution - not standard normal. I haven't visited Probability/Stats in a while so I had to look over moment generating functions before I could solve. I handed in the problem set yesterday, so I can't report back the final answer until...
Got stuck on an intermediate step in a larger problem. We are given X~(μ, σ^2), i.e. X is a random variable with standard normal distribution, and that Y=X^2. The question then asks to compute Cov(X,Y):
Cov(X,Y) = Cov(X,X^2) = E(X^3) - E(X)E(X^2) = E(X^3) - (μ)(μ^2 + σ^2)
I can't go any...
In that case you need to think about what it means for 'y to be a function of x.' In the simplest of terms, it is when you can write 'y' on one side of the equation, and all constants and 'x' terms on the other.
Do you have another example of when you found yourself in an endless loop? Or...