I'm not sure
- whether this is always true? and
- If it is true, whether it is a trivial assertion to make?
I've tried integrating using the definition of expectation, but I'm not getting anywhere with it.
I'm not sure
I've tried integrating using the definition of expectation, but I'm not getting anywhere with it.
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It is true if and only if $X$ is a constant random variable. Reason: $|X-\mathbb E X|$ is non-negative random variable and its expectation can be $0$ only when it is zero almost surely.