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We have four random variables say $W,X,Y,Z$ where $W$ and $X$ have the same distribution and $Y$, $Z$ also have the same distribution. Bad news is $EX$ and $EY$ may not exist but $E(W+Z)$ is zero. If we assume that $E(X+Y)$ exists, could we conclude that $E(X+Y)$ is zero?

I know if $EX$ and $EY$ were defined, we used linearity and it is obvious. However, we know nothing more about $X$, $Y$.

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    The title seems rather misleading. If this is linearity not holding, then limits of real sequences aren't linear either, since the sum of two sequences can have a limit even though the individual sequences don't. Perhaps you mean something like "where linearity cannot be used"?2012-10-21

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