When X and Y are not independent, the relationship between E(XY) and E(X)E(Y) is given by the formula E(XY) = E(X)E(Y) + Cov(X,Y), where Cov(X,Y) is the covariance between X and Y. This means that E(XY) is equal to the product of the expected values of X and Y plus their covariance. More @Wikipedia
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