Suppose $cov(X,Y)=0\;$ and $\;cov(Y,M)=0$. Does this imply $cov(X,M)=0\;$, if all distinct RV are normal?
Transitivity of uncorrelated random variables?
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statistics
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0*Individually* normal doesn't help. – 2012-06-26
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0Calling the third random variable M instead of Z is quite odd. Any reason for that? – 2012-07-02